グローバル株式の回帰のために選択する日付


0

日本で1年間の日次データを使用してS&P 500インデックスに回帰したい株が戻ってきたとします。日本の株式市場の休業日は米国と異なるため、日付が一致しない場合があります。例:

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

この場合、両方の市場で同じ日付に回帰を実行する必要があります。したがって、同一でない日付は無視されますか?2つの使用可能な日付を指定してください:2008-01-03 2008-01-05。または、回帰を行うより良い方法はありますか?

0

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.


1

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.