Title: Investigating the interaction between the world's ten largest stock market indices and their influence on the global economy in the period 2018-2022

Authors: Nikolaos Grouskos; Simeon Papadopoulos

Addresses: Department of Accounting and Finance, University of Macedonia, Thessaloniki, Greece ' Department of Accounting and Finance, University of Macedonia, Thessaloniki, Greece

Abstract: In this paper, the main characteristics of stock markets and stock market indices are analysed, with reference to the relevant theory and the reasons behind their interdependence. Ten stock market indices from three continents - USA, Europe, and Asia - that together made up the world's largest stock market indices between 2018 and 2022 are analysed for interdependence based on the total value of the shares they represent. The all country world equity index (ACWI), the primary MSCI index used in this comparison, is an international stock market index that tracks share performance globally across more than 40 nations. Daily data for each stock market index were processed and classified to determine the top 10 indices out of the 270 stock markets that had been registered worldwide as of 2022. This study examined Granger-causality and correlation between stock market indices. Additionally, the augmented Dickey-Fuller (ADF) test was utilised to examine index stagnation.

Keywords: stock market indices; correlation; Dickey-Fuller; ADF; criterion; Granger causality; global economy.

DOI: 10.1504/IJFERM.2024.142840

International Journal of Financial Engineering and Risk Management, 2024 Vol.3 No.4, pp.348 - 378

Received: 01 Feb 2024
Accepted: 22 May 2024
Published online: 28 Nov 2024 *

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