Abstract:

The aim of this paper is to explore the daily price movements of three national equity indices - the U.S. S&P 500, the Japanese Nikkei 225, and the Czech PX Index. The intermarket model is tested across the period from 7 August 1993 to 4 January 2012 using the daily closing prices. The focus of the research is to investigate how the daily changes in the S&P 500 and the Nikkei 225 are correlated with the subsequent changes in the PX Index. The author uses statistical multivariate methods including correlation and regression analysis. The empirical results emphasize the significant non-zero positive correlationbetween the U.S. S&P500 and the Czech PX Index daily returns during the Phase3.