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Statistics question

  • 09-06-2009 11:18am
    #1
    Closed Accounts Posts: 260 ✭✭


    Just wondering if anyone could help me on the following problem
    I have 2 time series say stock price A and stock price B.
    Visually they look like they track each other but i want to know what test should i do mathematically to determine which leads which and what strength the relationship is, ie does it strengthen weaken over time or does it even reverse.
    I am hoping to do this in excel with about 500 data points for each stock.

    Anyone got any ideas?


Comments

  • Registered Users, Registered Users 2 Posts: 13,104 ✭✭✭✭djpbarry


    Cross-correlation is the first thing that comes to my mind. Excel's Analysis ToolPak add-in has a function to calculate a correlation coefficient based on two input series.


  • Closed Accounts Posts: 260 ✭✭Baird


    Correlation for 2 stocks with heavy trends in them can easily give spurious results though cant it?
    Dont want to go down the cointegration route as it doesnt show which price leads which


  • Posts: 0 [Deleted User]


    First difference them and test for granger causation?


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