Description file, Raw data, Excel file, SPSS data file.
Title: Correlations amongst stock market indexes
Source: Groenen and Franses (2000)
Description: Consider data from 13 stock market indexes of 784 daily measures
from January 1, 1995, to December 31, 1997. From these data, the so-called return
values are derived by taking the difference of the log of two
subsequent index values. The data are a correlation matrix of these stock market
indexes. The 13 stock markets are:
1. brus
2. cbs
3. dax
4. dj
5. ftse
6. hs
7. madrid
8. milan
9. nikkei
10. sing
11. sp
12. taiwan
13. vec