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Hi guys im interested in cointegration in stock market between Brazil, USA, London, China, India, Argentina and Hong Kong.

Since I want to compare each country’s index to the BR index, how do i do to to convert all prices into BRL? Should i use the variation, close or adjusted close?

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Your question is not particularly clear - but let me try to give some elements that may help:

  1. Think about why do you want to convert prices into the same currency? Pure stock market performance is usually evaluated using Local currencies. You can compute daily, weekly or monthly returns (that is % price increases) for each stock index and then do whatever analysis you wish to do: correlations, cointegrations ... you name it.
  2. If you really need to convert indices into the same currency, you should take the close price in local currency and then convert that price into the currency of your choice (Bloomberg does this for you if have an acces, otherwise you will find exchange rates on the IMF website). Then you compute the returns as in 1.
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    $\begingroup$ Why would indices denominated in different currencies be cointegrated? I doubt there is theory to support that. $\endgroup$ – Richard Hardy Jan 21 at 11:02

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