V.8:4 (134-136): Correlations of common stock indicators by Frank Tarkany
Product Description
Correlations of common stock indicators by Frank Tarkany
Not surprisingly, it turns out that certain stock indicators are highly correlated with each other and with the Dow Jones Industrial Average (DJIA). There appear to be short but usable lags between the indicators and the underlying average. I investigated the cross and auto-correlations on more than 25 years of weekly data from 1964 to 1988 for the DJIA and these NYSE technical indicators:
Cumulative index of advancing minus declining issues (CADI)
Cumulative index of advancing minus declining volume (CADV)
Cumulative price Quotron index (CPQ)
I picked the technical indicators with large trading windows (that is, large non-random [NR], serially dependent [SD] lags). The formulas are listed in the related article "Pertinent formulas" and, for this study, I used "no-Saturday trading" Dow data, taking an average of each week's prices to calculate the indicators.
Not surprisingly, it turns out that certain stock indicators are highly correlated with each other and with the Dow Jones Industrial Average (DJIA). There appear to be short but usable lags between the indicators and the underlying average. I investigated the cross and auto-correlations on more than 25 years of weekly data from 1964 to 1988 for the DJIA and these NYSE technical indicators:
Cumulative index of advancing minus declining issues (CADI)
Cumulative index of advancing minus declining volume (CADV)
Cumulative price Quotron index (CPQ)
I picked the technical indicators with large trading windows (that is, large non-random [NR], serially dependent [SD] lags). The formulas are listed in the related article "Pertinent formulas" and, for this study, I used "no-Saturday trading" Dow data, taking an average of each week's prices to calculate the indicators.
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