In this short article we will show the statistical parameters of some international stock market indices:

SP 500
Dax
FTSE
TSE 300
Nikkei 225

The index price history was studied for the period from 1990 to 2001. Details of calculations are presented in the first part of this article.

The figure on the left shows the correlation coeffciients between SP 500 and other indices. Correlation coefficients have been calculated for various returns: from 1 to 64 days. We define m day return as

return = (P(i+m)/P(i) -1)*100%

where P(i) is the closing index price at day i. One can see that for all indices the correlation coefficients become larger for larger m.

The highest correlation is between SP 500 and the Canadian index TSE. The lowest is between SP 500 and Japanese index Nikkei 225.

The next figure shows the returns, risk (st. deviations of the returns), and risk/return ratios as function of m.

The German stock market index DAX showed the highest return for this period of time. However the risk of this index is high (see the central panel) and the risk/return ratio is the best for SP 500. It means that the part of US stocks in the investment portfolio must be large.