Table 1.

Correlation and covariance of the returns of the US stock market index and the Korean stock market index

S&P 500KOSPI_COKOSPI_OCKOSPI
A. Correlation coefficient
S&P 5001.0000.733−0.1630.356
KOSPI_CO 1.000−0.0570.615
KOSPI_OC  1.0000.752
KOSPI   1.000
B. Annualized decentralized covariance
S&P 500 (%)3.5591.981−0.5251.456
KOSPI_CO (%) 2.052−0.1401.911
KOSPI_OC (%)  2.9302.790
KOSPI (%)   4.701

Note:

The correlation and covariance of the daily log return of the S&P 500 index for the previous day and the daily log return of the KOSPI index for the same day are calculated excluding holidays from January 2019 to November 2019. KOSPI_CO is the log return of the KOSPI index from the closing price of the previous day to the opening price of the preceding day, while KOSPI_OC is the log return of the KOSPI index from the opening price to the closing price on the same day. KOSPI is the sum of KOSPI_CO and KOSPI_OC. The covariance is annualized by multiplying 252 to the covariance of daily return

[ViewLarge]
This Feature Is Available To Subscribers Only

or Create an Account

Close subscription notice
Close access options