Acta Univ. Agric. Silvic. Mendelianae Brun. 2014, 62(6), 1509-1519 | DOI: 10.11118/actaun201462061509

Intermarket Technical Research of the U.S. Capital Markets and the Czech Stock Market Performance

Jana Vychytilová
Department of Finance and Accounting, Faculty of Management and Economics, Tomas Bata University in Zlin, Mostní 5139, 760 01 Zlín, Czech Republic

Globalization of the capital markets increasingly leads the investors to understand the fundamentals and technicals of asset cross-correlations and the global asset allocation seems to be an important task. The paper measures product momentum correlations between the four leading global benchmarks Standard & Poor's stock index, Thomson Reuters/Jefferies CRB index, 30-Year U.S. Treasury Bond Price index and Dollar Index and between these indices and the Czech stock PX index. Empirical results illustrate that statistically significant correlations between U.S. indices existed over some past period at the 95.0% confidence level. In addition, the significant relation between indices Standard & Poor's stock index, Thomson Reuters/Jefferies CRB index and the Czech stock market PX during the past fifteen years has been detected. These conclusions were reached from an analysis of monthly data in the United States and the Czech Republic, from January 1999 to April 2014. The empirical results offer beneficial applications not only for investors to diversify their risk but also for policy-makers to allocate resources more efficiently.

Keywords: cross-asset allocation perspective, asset market linkages, attributes of cross-market movements and capital market fluctuations
Grants and funding:

This paper was supported by Project No. IGA/FaME/2013/014: 014 Trading in Financial Markets Using Market Profile.

Published: January 17, 2015  Show citation

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Vychytilová, J. (2014). Intermarket Technical Research of the U.S. Capital Markets and the Czech Stock Market Performance. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 62(6), 1509-1519. doi: 10.11118/actaun201462061509
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