Cross-Market Performance, Risk, and Integration Dynamics of World Equity Indices: A Seven-Year Empirical Analysis

—This paper presents an empirical, data-driven study of eleven major world benchmark equity indices
spanning Asia-Pacific, Europe, and the Americas (World ex-United States scope), covering the seven-year window
from September 4, 2019 to September 4, 2026. Using daily open-high-low-close-volume (OHLCV) data sourced from a
public Kaggle repository originally collected via Yahoo Finance, we compute total return, compound annual growth
rate (CAGR), annualized volatility, the zero-risk-free Sharpe ratio, and maximum drawdown for each index. We further
examine the cross-market correlation structure of daily returns, its evolution across five market regimes (pre-COVID
19, the COVID-19 shock, the reopening recovery, the 2022–2023 monetary-tightening period, and the recent 2024
2026 period), and the distributional and stationarity properties of daily returns via the Jarque–Bera and Augmented
Dickey–Fuller (ADF) tests. The South Korean KOSPI (18.92% CAGR) and the Japanese Nikkei 225 (17.80% CAGR)
delivered the strongest risk-adjusted performance, while the Hang Seng Index was the only benchmark to post a
negative CAGR (−0.48%) alongside the deepest maximum drawdown (−52.75%). Average pairwise return correlation
nearly doubled during the COVID-19 shock (0.627) relative to the pre-COVID baseline (0.421) before declining to its
sample low (0.288) in the most recent regime, consistent with crisis-driven contagion followed by market decoupling.
All eleven return series reject normality (Jarque–Bera, p < 0.001) and are stationary (ADF, p < 0.001), confirming the
well-documented stylized facts of skewness, excess kurtosis, and non-unit-root behavior in financial return series.