A Static and Dynamic Analysis of the S&P Listed
Private Equity Index for the NASDAQ, Dow Jones,
S&P 500, and NYSE

Abstract

This study explores the explanatory relationship between the S&P Private Equity Index and other market indicators. The results indicate that the S&P 500 Index and the NYSE were the two indices that had the maximum effective range and explained the most variation in the private equity index. These findings suggest that the PE index is most sensitive to these two indices. The study also indicates that foreign companies operating in the U.S. listed as American Depository Rights (ADRs) contributed to the growth of the S&P Listed Private Equity Index during 2009 to 2011.

TOPICS: Private equity, mutual funds/passive investing/indexing, financial crises and financial market history, statistical methods