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Comparative Analysis of Commodity & Stock Indices Daily Movement using Techniques of Nonlinear Dynamics Data & Methodology
, Nath Bhattacharya Sharad
Published in
2008
Pages: 1 - 12
Abstract

Analysis of the time path of financial series in terms its underlying dynamic characteris- tic features has been the recent focus of scientists and practitioners studying the financial market. Understanding the dynamics of a financial series, as a stock market index or a commodity market index is still however, a complex task having its specific requirements. Efforts have been made to analyse the different time series and try to unearth the dynamic similarities, if any. In this paper we have tried to analyse the daily movement of stock index vis-`a-vis the same of commodity index. For this purpose we have considered com- modity(MCX -COMDEX )and S & P CNX NIFTY (NIFTY) indices of Multi Commodity Exchange and National Stock Exchange, India, respectively, for the study along with Dow Jones Industrial Average (DJI) and Dow Jones-AIG Commodity Index (DJ-AIGCI)indices for stock and commodities, USA from June 2005 to August 2008. To analyse the dynamics of the time movement of the indices we have used the techniques from nonlinear dynam- ics like Recurrence Plot analysis, Power Spectrum analyses, Delay based cross correlation function. Our studies show that the dynamics of the time path of daily movement of Indian stock and commodity exchanges are much similar in nature while those of the US market are quite differen

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