全球股票回歸的選擇日期


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比方說,我有一個日本股票回報率,我希望使用一年的每日數據對S&P 500指數進行回歸。由於日本股票市場與美國的假期不同,因此日期可能並不對應。例如:

US trading dates ->    2008-01-02 2008-01-03 2008-01-04 2008-01-05
Japan trading dates -> 2008-01-01 2008-01-03 2008-01-05

在這種情況下,是否應該在兩個市場的相同日期進行回歸,從而忽略不相同的日期?給我們兩個可用的日期:2008-01-03 2008-01-05。還是有更好的回歸方法?

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It is not clear you want to regress changes or indexes themselves? If you regress the indexes, then the 12 hour time difference will not matter. If you regress changes, you better take as the "x" variable the series that leads and as "y" series that lags (by 12 hours). It means that if you want to take d(Nikkei) = a*d(S&P)+b then you want to take the Nikkei change for the next day.


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The way to setup the regression depends on what do you want to predict. Once you formulate exactly what do you want to predict, you should set up your regression in exactly same way.

Daily regression of returns of JPYStock ~ SPX can be done in several ways, and you should consider these differences:

  • holidays as you mention
  • End of trading day time (i.e. one will be ahead of other, thus there is information leak)
  • currencies are different, i.e. you might want to include USDJPY spot FX in your regression

Even if you disregard these differences, and just focus on daily regression (which is basically just estimating Pearson correlation and vols,ignoring FX moves, and accepting that there is information leak), then these holidays differences do not matter if during the holidays period the returns are not abnormal. Estimating correlation over few years, and adding some dozen of non-abnormal returns will not change this correlation significantly. (by adding i mean substituting the returns by 0 if not available on holiday date)

as noob2 mention you might want to calculate this correlation over longer periods, such as weekly, monthly etc. This will change your correlation more than effect of including/excluding same holidays.