5security-marketindicatorseries(投資分析與投(存儲(chǔ)版)
【正文】 actors in Constructing Market Indexes The sample ? size ? breadth ? source Differentiating Factors in Constructing Market Indexes Weighting of sample members ? priceweighted series ? valueweighted series ? unweighted (equally weighted) series Differentiating Factors in Constructing Market Indexes Computational procedure ? arithmetic average ? pute an index and have all changes, whether in price or value, reported in terms of the basic index ? geometric average StockMarket Indicator Series Price Weighted Series ? Dow Jones Industrial Average (DJIA) ? NikkeiDow Jones Average ValueWeighted Series ? NYSE Composite ? SP 500 Index and more… Unweighted Price Indicator Series ? Value Line Averages ? Financial Times Ordinary Share Index Dow Jones Industrial Average (DJIA) ? Bestknown, oldest, most popular series ? Priceweighted average of thirty large wellknown industrial stocks, leaders in their industry, and listed on NYSE ? Total the current price of the 30 stocks and divide by a divisor (adjusted for stock splits and changes in the sample) Example of Change in DJIA Divisor When a Sample Stock Splits After Threefor One Before Split Split by Stock A Prices Prices A 30 10 B 20 20 C 10 10 60 3 = 20 40 X = 20 X = 2 (New Divisor) ? ?Exhibit Demonstration of the Impact of Differently Priced Shares on a PriceWeighted Indicator Series PERIOD T+ 1 . Period T Case A Case B A 100 110 100 B 50 50 50 C 30 30 33 Sum 180 190 183 Divisor 3 3 3 Average 60 61 Percentage Change % % Exhibit Criticism of the DJIA ? Limited to 30 nonrandomly selected bluechip stocks ? Does not represent a vast majority of stocks ? The divisor needs to be adjusted every time one of the panies in the index has a stock split ? Introduces a downward bias by reducing weighting of fastest growing panies whose stock splits NikkeiDow Jones Average ? Arithmetic average of prices for 225 stocks on the First Section of the Tokyo Stock Exchange (TSE) ? Bestknown series in Japan ? Priceweighted series formulated by Dow Jones and Company ? The 225 stocks represent 15 percent of all stocks on the First Section ValueWeighted Series ? Derive the initial total market value of all stocks used in the s
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