TITLE:
Portfolio Diversification of Global Stock Indices and the Predictive Power of Macro-Economic Signals on the SPX Index
AUTHORS:
Chenming Yan
KEYWORDS:
Stock Market, Macroeconomic Indicator, Return Forecasting, Portfolio Diversification
JOURNAL NAME:
Open Journal of Business and Management,
Vol.12 No.5,
September
4,
2024
ABSTRACT: This study presents and analyzes the performance dynamics of NIFTY, SPX, and HSI indices from September 2011 to October 2022. Meanwhile, it also sheds light on the correlation between the major stock market indexes and macroeconomic signals (SPX and US macroeconomic signals here, for example). I employ a robust analytical framework and statistical tests to evaluate performance metrics and assess the performance of various diversified portfolios. Moreover, I apply regression techniques to explore the predictive power of macroeconomic signals on SPX movements. My key findings are: 1) specific diversification strategies significantly improve performance compared against individual indices, and 2) certain macroeconomic indicators demonstrate predictive power to the SPX index’s performance.