An Analysis of Coincidence between KSE-100 and S&P 500 Index using Spectral Approach

Abstract

<span>When dealing with time series data, particularly of higher frequency,<br /><span>we are often interested in figuring out periods which are of vital<br /><span>importance. Here in this research, the returns on KSE-100 and S&P<br /><span>500 index are taken on daily basis from September 2001 to June 2013.<br /><span>As thousands of data points (due to high frequency) are considered,<br /><span>it is impossible for us to figure out any pattern in series, unless<br /><span>suitable filtering is applied on them. For this purpose, a power<br /><span>spectrum will be made by means of a fast fourier transform. This will<br /><span>yield us the events that has influenced KSE-100 index considerably<br /><span>in post 9/11 scenario.</span></span></span></span></span></span></span></span></span><br /><br class="Apple-interchange-newline" /></span>