Comments (0)

By Tai, January 27, 2010 11:08 am

US

ρ (DJIA, VNI) _2006-2009 = 0.7741

ρ (S&P 500, VNI) _2006-2009 = 0.7528

EU

ρ (FTSE, VNI) _2006-2009 = 0.7374

ρ (DAX, VNI) _2006-2009 = 0.8406

Asia & Oceania

ρ (NIKKEI 225, VNI) _2006-2009 = 0.7114

ρ (HSI, VNI) _2006-2009 = 0.6509

ρ (STI, VNI) _2006-2009 = 0.8519

ρ (CN SSE, VNI) _2006-2009 = 0.6936

ρ (ASX, VNI) _2006-2009 = 0.8507

Below is the regression lines between one high, one ‘medium’ and one ‘low’ correlations

Comments (0)

By Tai,

The UK has the floating rate LIBOR as the reference rate at which banks borrow in the money market. This floating rate is also used for engineering other derivatives.

Respectively, Australia has BBSW: bank-bill reference rate.

In Vietnam, the inter-bank rate between Vietcombank, Agribank, Vietinbank and BIDV has recently been used e.g. for bonds. The full term is long, so I came up with an acronym for it: VAVB. This term is sheerly for the ease of remembering and discussion; the order of the letters serves no other purpose.