Cointegration between Walt Disney (DIS) – Netflix (NFLX)

In the following quantitative analysis we will see how Walt Disney and Netflix, two companies operating in the media and entertainment field, appear to be contegrated.

This long-term equilibrium relationship between them should derive from the fact that they operate in the same sector in which they are also leaders.

The two historical series were examined starting from 19 December 2019, the market launch period of Disney Plus, streaming on-demand platform, news same Netflix’s service.

Confirmation of the cointegration is given by the analysis of the Market Value of these two series, given by the difference in the daily closing prices of these two series.

Indeed the market value is stationary, confirmed by the Variance Ratio test for random walk, equal to 1 which reject the null hypothesis of a random walk in the time series, with

P-VALUE 5.06e-04

In such a situation, moving away from the historical average of the DIS – NFLX Market Value suggests excellent buy / sell entry opportunities.