World stock markets

Monitor world stock markets and the global financial and economic conditions afecting them using MacroVar quantitative models. Click a specific stock market to view a detailed list of multiple factors affecting the specific market. Learn more about MacroVar multi-factor models and methodology.

World Stock Markets Overview

Last
Daily %
Momentum
Trend
Exhaustion
Trend Strength
4255.15
0.182
4255.15
0.182
373.64
21425.5
2804.23
55.44
ACWI ACWI
S&P 500 S&P 500
STOXX STOXX
NIKKEI NIKKEI
SSEC SSEC
EEM EEM
Last
Daily %
Momentum
Trend
Exhaustion
Trend Strength
ACWI ACWI
4255.15
0.182
S&P 500 S&P 500
4255.15
0.182
STOXX STOXX
373.64
NIKKEI NIKKEI
21425.5
SSEC SSEC
2804.23
EEM EEM
55.44
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Systematic Risk model


Risk Management model

Last
Signal
-1 Week
-1 Month
-3 Months
-6 Months
Momentum
0.38
0.35
0.2
0.27
-0.15
0.12
0.13
0.21
0.43
0.28
-0.88
-0.78
-0.72
-0.86
-0.86
-0.39
-0.33
-0.13
-0.06
0.06
-0.49
-0.43
-0.41
-0.18
-0.49
-0.52
-0.52
-0.48
-0.48
-0.39
-0.19
-0.35
-0.16
0.33
-0.57
MacroVar Risk Index MacroVar Risk Index
Stock risk Stock risk
Credit risk Credit risk
Currency risk Currency risk
Emerging Markets risk Emerging Markets risk
Liquidity risk Liquidity risk
Bond risk Bond risk
Last
Signal
-1 Week
-1 Month
-3 Months
-6 Months
Momentum
MacroVar Risk Index MacroVar Risk Index
0.38
0.35
0.2
0.27
-0.15
Stock risk Stock risk
0.12
0.13
0.21
0.43
0.28
Credit risk Credit risk
-0.88
-0.78
-0.72
-0.86
-0.86
Currency risk Currency risk
-0.39
-0.33
-0.13
-0.06
0.06
Emerging Markets risk Emerging Markets risk
-0.49
-0.43
-0.41
-0.18
-0.49
Liquidity risk Liquidity risk
-0.52
-0.52
-0.48
-0.48
-0.39
Bond risk Bond risk
-0.19
-0.35
-0.16
0.33
-0.57
Access MacroVar detailed analysis of current risk conditions using MacroVar risk management models.

Stock Risk


Stock Risk

LastStrength-1 Week-1 Month-3 Months-6 Months
Stock risk0.120.130.210.430.28
VIX0.10.140.090.590.53
VXN0.250.340.31.050.79
VSTXX0.010.0900.180.2
VIX term structure23.4-2.3-2.31.23.4
VSTXX term structure0.150.040.080.45-0.02
Click to explore full analysis of the MacroVar Risk Management models.

World stock markets

MarketCountrySymbolLastDaily %Weekly %MomentumTrendExhaustion
S&P 500United StatesSPX4358.69-0.362.6400.75-2.6
S&P/TSX CompositeCanadaTSE20110-0.18-0.4500.751.04503
BovespaBrazilBOVESPA125929-1.93-2.20.511.47509
S&P/BMV IPCMexicoIPC50035.21.21-0.27111.17184
Bolsa de Valores de Lima SAA (BVL)PeruBVL187431.050.10.511.05251
IPSA Select (IPSA)ChileIPSA4274.261.8-0.4700.750.45334
DAXGermanyDAX15422.5-2.32-0.220.511.12955
CAC 40FranceCAC6464.48-1.43-1.3200.50.91836
FTSE MIBItalyMIB24675.6-2.06-1.60.50.750.92864
IBEX 35SpainIBEX8567-1.05-4.3200.250.49529
PSI 20PortugalPSI204987.12-3.47-1.040.50.751.04677
AEXNetherlandsAEX733.74-1.51.20.511.422
ATXAustriaATX3404.28-1.02-0.8710.750.97536
Athens General CompositeGreeceATG854.22-1.93-6.1610.751.06728
OMX Copenhagen 20DenmarkOMXC1708.1-0.15.360.511.69937
OMX Stockholm 30SwedenOMXS2334.37-0.934.1100.50.99888
Oslo OBXNorwayOBX1203.35-1.82-0.970.511.50265
SMISwitzerlandSMI12021.6-0.181.03111.01835
FTSE 100United KingdomFTSE6998.28-1.31-1.07-0.50.250.35618
RTSIRussiaRTS1586.12-2.44-4.810.50.750.75496
BIST 100TurkeyBIST1351.59-1.94-2.8410.5-0.98094
WIG IndexPolandWIG67093.9-0.80.5410.751.48083
Budapest SEHungaryBUX47882.61.48-1.5310.751.16624
PX IndexCzech RepublicPX1188.122.511.910.5-0.04334
FTSE/JSE Top 40South AfricaJTOPI60502.4-2.031.2400.751.22422
NSE All Share IndexNigeriaALLSHARE37952.70.25-1.88112.61206
ASX All Ordinaries IndexAustraliaAORD7308.7-0.630.1410.751.03548
Dow Jones New ZealandNew ZealandNZDOW371.920.16110.75-0.01581
FTSE Straits Times SingaporeSingaporeSTI3119-1.510.320.50.750.51137
Shanghai CompositeChinaSSEC3562.660.97-0.1111.64904
Hang SengHong KongHSI27224.6-2.03-3.8310.751.22317
BSE Sensex 30IndiaBSE52198.5-1.08-0.74112.06197
Jakarta Stock Exchange Composite IndexIndonesiaJKSE6029.980.3-0.95110.38671
KOSPISouth KoreaKOSPI3215.91-1.5-1.84112.43127
FTSE Malaysia KLCIMalaysiaKLSE1516.52-0.2-3.6500.751.21502
Taiwan Weighted IndexTaiwanTWII17458.8-2.170.7112.31671
PSI CompositePhilippinesPSI6476.21-5.25-6.3910.750.93245
SET IndexThailandSET1540.88-1.84-3.220.50.50.76889
HNXVietnamHNX300.81.33-4.75110.65308

World Stock market Models

MacroVar monitors world stock markets using the following quantitative models. These models are combined with statistical analysis of the specific factors affecting each financial market and analysis of world macroeconomic conditions.

World stock market momentum model

Momentum trading is used to capture moves in shorter timeframes than trends. Momentum is the relative change occurring in markets. Relative change is different to a trend. A long-term trend can be up but the short-term momentum of a specific market can be 0. If a market moves down and then moves up and then moves back down the net relative change in price is 0. That means momentum is 0. A short-term positive momentum, with a long-term downtrend results in markets with no momentum.

MacroVar momentum signals range from -100 to +100. The momentum signal is derived as the mean value from 4 calculations for the a specific world stock market. The timeframes monitored are the following: 1 Day (1 trading day), 1 Week (5 trading days), 1 Month (20 trading days), 3 Months (60 trading days)
For each timeframe, the following calculations are performed: 1. The world stock market's return is calculated for the specific timeframe and 2. if the return calculated is higher than 0, signal value output is 1 else signal value is -1. The momentum signal is the aggregate of the 4 values. A technical momentum rollover is identified when the  momentum signal moves from positive to negative value or vice-versa.

World stock market trend model

MacroVar trend signal ranges from -100 to +100. The world stock market trend indicator is the mean value of the 8 calculations described below. The timeframes monitored are the following: 1-month (20 trading days), 3-months (60 trading days), 6-months (125 trading days), 1-year (250 trading days)
For each timeframe, the following calculations are performed: 1. world stock market closing price vs world stock market moving average (MA) calculation: If the stock market index is greater than world stock market value is +1, else -1, 2. stock market index Moving average slope calculation: if current stock market index moving average is higher than the previous MA, stock market index upward slope +1, else -1
Stock market index trend model can be used as a trend strength indicator. Stock market index trend strength values ranging between +75 and +100 or -75 and -100 show strong trend strength.
A technical trend rollover is identified when the stock market index trend strength indicator moves from positive to negative value or vice-versa.

The most important trend indicator
The stock market index 52-week simple moving average and its slope are the most important indicators defining a market’s trend. A stock market is in an uptrend when the stock market price is higher than the 52-week moving average and the stock market 52-week moving average has an upward slope. If fundamentals of the market have not changed and the moving average slope is still in uptrend, a price drop signifies a market correction and not a change of trend. Traders should watch oscillators like the stock market oscillator and stock market index RSI to buy the dip and still follow the trend. The moving average slope turn signifies a change of trend.

Stock Market oscillator model

A stock market oscillator estimated by MacroVar is the z-score of the current stock market index price versus stock market index 1-year simple moving average price. The formula for the stock market index oscillator is:
stock market oscillator = (Current Price – 250 trading days stock market simple moving average price) / (250 days stock market price standard deviation)

Stock Market Index oversold conditions
A stock market is oversold when it is subject to a persistent downward pressure due to extreme fund outflows. When the stock market is oversold it is often due for a rebound. Values of the stock market oscillator lower than -2.5 signify oversold conditions. It must be noted that the stock market oscillator must be analyzed ibn conjunction with the rest of a stock market's quantitative factors. Traders should pay less attention to overbought or oversold conditions during strong trends. They should pay close attention during counter trends and all combined with the stock market index RSI.
Stock Market index overbought conditions
A stock market is overbought when it is subject to a persistent upward pressure due to extreme fund inflows. When the stock market index is overbought it is often due for a correction. Values of the stock market index oscillator higher than +2.5 signify overbought conditions. It must be noted that the MacroVar oscillator must be compared to the rest of a stock market's quantitative factors. Traders should pay less attention to overbought or oversold conditions during strong trends. They should pay close attention during counter trends and all combined with the RSI.

Stock Market Index RSI indicator

The RSI indicator measures the speed and change of price movements. The RSI indicator oscillates between 0 and 100. RSI is a useful indicator during normal trending market conditions when an asset price oscillates around its trend value. During big moves and strong trends however, like short squeezes or price spikes RSI and other oscillators don’t work.
During normal trend market conditions and when a stock market is in a downtrend RSI values between 50-60 signify overbought conditions before the downtrend is ready to resume. During a stock market uptrend, RSI values of 40 to 50 signify oversold conditions before the uptrend is ready to resume. It is strongly not recommended to enter a position when the RSI is “overbought” and falling or vice versa.

Stock Market statistics

MacroVar calculates various statistical indicators for each stock market by monitoring returns for the following timeframes: Daily, Weekly, Monthly, Yearly returns. MacroVar analyzes all how each model above and a specific stock market's individual factors have affected the stock market historically using a sophisticated backtesting algorithm.

 

Stock Market Risk Monitor

MacroVar has developed risk management models to monitor risk level of world markets and automatically update users on global financial risk conditions. Explore MacroVar Risk Management in detail.

Analyzing the World Economy and Global Financial risk
The global economy and world markets experience long-term growth. When financial risk is low, financial markets operate smoothly providing ample liquidity to financial markets and the economy. During these periods high growth assets like stocks experience high returns and are priced efficiently based on their fundamental drivers. On the contrary, when financial risk is rising, market liquidity deteriorates because of a loss of confidence in banks, funding institutions or governments which causes a feedback loop of surging funding costs, increased price volatility and asset fire sales.

MacroVar world risk management model overview

MacroVar risk management model is a quantitative model which monitors critical financial markets and warns investors when financial risk is rising quickly. The risk management model monitors stocks, bonds, credit markets, currencies and global liquidity daily.

MacroVar model components
MacroVar risk management model is comprised of the following segments:

  • Stock Risk monitor: Stock risk is monitored by analyzing the implied volatility and shape of the term sturcture of the S&P 500 and Eurostoxx 50 stock markets.
  • Credit Risk monitor: Credit risk is monitored by analyzing the credit default swaps indices of the United States and European markets.
  • Bond Risk: Bond risk is monitored by analyzing the implied volatility of the US treasury market.
  • Emerging markets risk: Emerging markets risk is monitored by analyzing the credit default swaps of government bonds for major emerging countries.
  • Liquidity risk: Liquidity risk is monitored by analyzing the LIBOR-OIS spread.
  • Currency risk: Currency risk is monitored by analyzing the implied volatility of low-risk currencies and gold.

 

Stock Market versus Fundamentals

MacroVar monitors for each stock market various factors affecting it. One of the most important leading indicators of a country's macroeconomic growth is the country's manufacturing and services PMI. A PMI above 50 indicates strong economic growth and has historically coincided with Stock market appreciation and vice-versa. Sign up to explore MacroVar models.

 


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