STOCK INDICES HANDBOOK. Prepared by. KPMG Peat Marwick Washington, D.C. for the Czech Savings Bank

Transkript

1 STOCK NDCES HANDBOOK Prepared by KPMG Peat Marwick Washington, D.C. for the Czech Savings Bank under contract with the U.S. Agency for nternational Development United States Department of State Washington, D.C. March, 1993 f;(/fjij z- -lor Cfl'/S

2 English version

3 Section} Overview Table of Contents Section 2 Price Weighted ndices Section 3 Value Weighted ndices Section 4 Unweighted ndices Section 5 Stock ndices & Beta Computation Section 6 Stock ndices & Forecasting Section 7 Stock ndices & Technical Analysis Section 8 Hedging Utilizing Stock ndices 3

4 Section 1 OVERVEW

5 What is an Equity Market ndicator Series? A numerical measure of aggregate equity market perform'ance based on a set of samples, a specific computational method, and a weighting scheme. \A.

6 ~c.., 'f :h. ~ ~ h. ~ ", (") ~ -.: '..'1 'NEW YORK DOW JONES lndusrlaj' Hom. ElMds T~port Flnanclel Mar , Feb Mar 3 2A , ,.1 43, , B ,73 683,92 6n.72 Feb ~ «9.56 l'12j!3) (4/2/93) 402 WZ (~ (VVB2) , (412193),Feb24.;, *9."..: NDCE~ '~~: ::;~:" Mat Mar Mar Mar n '-:',"- ;:~~,_.',:?'" /J4192) B4l92) 32,40 (/J4192) /J , ( ) (1&16192) Feb Feb (49,56 (.12J!3) 518, J!13).( J! (412J!13) ' 11VVB2i '14/2/93) ' MO (116132), 3.62 (21f6.132) B.6-4 (1110.'7.) U /42) (92fl2) 54,87. ( ), YOllr ago (approx.) year ego (approx.) FRANCE ~ \_.'!-- CAC Gooera13111VB1) 53ll.94 ' ( ) ~1.70 (7/10192) CAC 40 (3111VB7), ,2. 20n,49 (11/5/92) (511002) GERMANY \ '', F!oJ. MtJon 131/1V58) ' ,42' , (1&15/92)' 565:61 ( ) CommO'1llank (11V53) ,80 (25/5/92) 1~,60 ( ) OAX (J()lVB7).-, , (2S1S92) U20.3ll (&11002) HONG KONG ' Ha"'l SOng Bank (31n164) 6-4BZ M '3193).3ll1.78 {211/92) RELAND SEO Qv,,",11 WllB8)',1373, , H69,57 ( ) 1109Ul ( ) TALY",',., Banco Com. fal, (1972) 528,13 535,.7 536,72 533, (1J292) 3~.93 ( ) MB General (411193) ' l1n.o (V393) ( ) ~:e~~6549)'" To1<yo SE (Tapl,) (4/1168) 2nd SBctlon (411/68) MALAYSA ' (&11/92) 11.3ll9. 1 ( ) , (611192) ( ) ) (191ll192) 637, ' ,35 ( ) '>.('.:.1.\ar Mar j9ll2l93 Sinc<l compilaljon X' 8.5 ~ 3" HGH. '. l.{n{' ". '. '. ~ 3 2 HGH LOW HGH LOW AUST"RAUA:',- ",.,." ',..,:' '1' «2,U " 313Q U All Ordlnarl ),. 1617,1.1613, (22J5192J. 1357,20 ( )'. (52J'l3) (9/1n'92) '1~'2J93) (2fl32) All M"1ng (ll1bo) ' ,80 (317192) 5-5,~ ( ) (99' AUSTRA ':" ' ), ( )'. W93) ) Cred~ men (3O1V84) 356,52 357, ,56.58,57 (2~ ( ).;. 1538, , ; ' '. 12,32 Traded ndex (V91) ,31, 85-1, (2~' ( ) 112!l3) 12li11l192) (12!l3) 1817/32) BE~GUM' ',. '.., W,3ll ,61 '10.50 BU20 (111191) t ' 1220, , ,40 (V692) 1~.07 (219192) LJtnllles ~-::- -::7"7--:-:--~:::-:--:,:-:-=-:lJ93:-:,-::,:),::-:::::-,:,/J_~..:.'92)::::,-=-(3J9=:.:3,::) :-:::..:.(/J:....,.l3..::2)..,..., DENMARK,;, ' OJ ndl, Oay', High 3.(47.81 ( ) Low ( ) (Theorcncal~) Copenhagen 5E (311/83) 283.3ll ! 280, ( ) 250,.2 ( ), STANDARD AND POOR'S. Compos~, t.(46,11.( '1ndus1J1a, tiyse Composite,,\me, Mk1. Value NASOAQ Composfte Dow ndustrial Oil', Yeld S & P nduslrl~ dil', yield S & P nd!. Pit ratio NEW YORK ACTVE STOCKS Sloe"".. Claolng.Change "'day traded' price on day Wal-Mart.,073,000 32'..Unlsys Corp 3,610,400 ' 13', " Humana 3,441,600 6, '. 7, Gen Molors 2,781,600 39' 7, SO Tech 2,6H,loo 24 1 BM 2,66-4, 'e PhUlp Mom, 6-4,, 2,610,300 Chrysle, 2,588, , ' " 'M.rtk 2,430, ,, Pfzer. 2,294, , S, CANADA TORONTO.Melals & Minerai. Composns MO!lREN. Portf~~ Mar mu9 lb16.03 Day'. High ) Low ( ) (Actu~~) FNLAND';' ',.. HEX General 121J1V90) (5:Y!l3) ' (719192) TRADNG ACTVllY t :v~ru'me;~ ',.;:",.".:: M'i1Jl~~s"" MarS Mar 4 Mar 3 New York SE Am,,' 1(19B NASDAQ ,3B3 NYSE ssuas Traded Rises F~. Unchanged New Hlgls New lows Mar Mar Mar B15,09 2B2B , B HGH. 2,4B4 91Z B.B7 ( ) ( ) ( ) 1997./93 2, LOW 2529,91 ( ) (14.'10182). 1663,16 (14.'1002) 8... vol"", 01 ell ndlc.. are 100 e'c.pl NYSE All COmmon, 50; St\!1dard and Poor's - 10: and To,onlo Composite and Melal' Toronlo ndlce' based 1975 and Montre~ Portfolio 411/83. t ExclUding bonds.* nduslrl~, plus Ll1les. Financial and Transportation. (e) Clo'ed. (u) Unavallahle. '" The OJ nd!. ndex heorellcal day's hghs and lows are the averages of the highest and lowest prices reached during the day by each stock: whereas the actual day's highs and lows (suppllod by le/skurs) represont the hghest and lowest values that the ndex has reached during the day. ~ figures in brack.ets are previous day s). Kl5E Compo,n. (4l4186) NETHERLANDS'.CBS Tl,Rln.Gen,(End 19B31.., CBS All S/lr (End 1983) NORWAY,.'..: O~o SE Qld) V1183), PHUPPNES,' 1. Manila Comp VlB5) SNGAPORE SES A11-5lngapofe (214.' , ,1 727, \ 323,50 (1J393). 21U " J393)', ' B m.u 118l~2) (14'1192) m,oo (811192) (1li11l192) ( ) (11/6/92) ( ) SWTZERLAND ;.... Swiss Bank nd. ( B) SBC General 11/4187)' B ,. 938, ( ). m.3ll (313193) TAWAN"" Weighted Prce J()l6lB8) 4601,56.j731,B5.737, THALAND Bangkol< SET (30/4,75) (e) , (25'1/93).J...,:".'."';.,.21.27' (2412J!13) (11111l'112)". SOUTH' AFRCA (( 2,49B JSE Gold (21J817B)r , 947,0 1327,00 ( )" 7~,00 (1lY11192). 1,268 : JSE ~dustrial 12/JM8), «06.0.(404.0.(429.0 ~9.oo (4692) ) SOUTli.KOREA"t:. 60Z , Z n (911193).59,07 (111l1192) 270 K... Comp Ex SPAtN'i'. Madrid SE (3011V85)' ' PJ2192) 179.~ (5ln'92) SWEDEN -' 'Marsvarlden r..n. 11i/37)' ' ' (1J393) 639,00 (511002) 7~.50 (/J92) 596,40 ( )' (J()l92).3ll88..3 (911193) 667.M ( ) WORLO M.S. Cap0llnll.(11.'70) $ 520.2" ~7,50 (81.192) EUfO Top-loo 12/J&'9O) t n2.52 (5ln'92) "Sall<ilay Match 6. TaJwan Welghte<l Price:.,723,68, t:lm C<xnp Ex u~ect to o~d~ rocal",l,tion. t CorJeclloo.. "Calculaledol rm. Base "lues of ~llnd;ces "cept /.us1rio Traded, BEl2Q, HEX Gen., MS Gen., ~O, EJl1 Top-l00,!SEO o...>ll and CAl 1,000, JE Go~,255.7, J5E 26 lndusl1ws, 260 and AlJShl~ All Ordinary and Mining - 500; e) Cloed, lu Unavallab () "\

7 ~ Uses of Equity Market ndicator Series 1) Examine total market returns over a specific period in order to judge performance of individual portfolios adjusting for varying degrees of risk. 2) Examine factors that influence aggregate stock price movements. 3) Predict future price movements through technical analysis. 4) Determine systematic risk for individual security based on the market. 5) Hedge using stock index futures.

8 0== r.rj 0 Q.. E 0 u r.rj QJ.- :.. QJ ifj. ~ :.. - ~ E ~ r.rj ~ - E QJ c.. rjl co: c c.. -c.. -Q.. E ~ rjl E C': 0 ~ rjl..c 0 ~ ~... ~ ifj. 0 "'0 e.j C': ;.. ~ ~ ::: N ; rjl ~ rjl -- l""'i -- N -- ("f')

9 Computational Method 1) Simple Arithmetic Average 2) Compute index in terms of a base index 3) Geometric Average ~

10 _ J _ Weighting 1) Price Weighting 2) Value Weighting 3) No Weighting -b

11 Section 2 PRCE WEGHTED NDCES

12 Price Weighting Definition: Arithmetic Average of Current Prices Examples: Dow Jones ndustrial Average (NYSE) DAX (Frankfurt) National Quotation Burea Average (OTC) ~

13 Dow Jones ndustrial Average 1) 30 large blue chips stocks on the NYSE 2) ndex derived by totaling the prices of the 30 stocks and dividing the sum by a divisor that has been adjusted to take account of stock splits and changes in the sample over time 3) When the stock splits the divisor becomes smaller 4) High Priced stock carries more weight in series than low priced stock ~

14 Price Weighting Example using the DJA Effect of 100~ Change in Price of 2 Different Stocks Case A Case B Stock A Stock B Stock C Sum Divisor Average o~ Change 6.7% 1 ~ Regardless of Market Capitalization, a 10% price change in a high priced stock will have a greater effect on the Price-Weighted ndicator series than that of a low priced stock. ~

15 Change in DJA divisor when a stock splits Stock A Stock B Stock C Before Split /3=100 After 2-for-l Split By Stock B /x=100 x=2.65 -v-...

16 Criticisms of the Dow Jones 1) Sample is too small and does not represent typical company 2) High priced stock have inordinate effect on overall index 3) Stock Splits cause downward bias --~

17 Other Price Weighted ndices Similar Computations to Dow Jones ndustrial Average 1) Dax -30 Blue Chip Stocks on the Frankfurt Exchange 2) National Quotation Bureau Average -35 industrial blue chip stocks on OTe market ~

18 1\ Section 3 VALUE WEGHTED NDCES

19 Value Weighted Series Definition: ndex weighted by market capitalization ~

20 Value Weighted Series ndex-t = L PtQt * beginning index value LPbQb ndex-t = index value on day t Pt = ending price for stock on day t Qt = number of outstanding shares on day t Pb = ending price for stocks on base day Qb = number of outstanding shares on base day ~ o

21 Example of Computation for Value Weighted Series Stock Share Price Number of Shares Market Value December 31, 1990 A ,000,000 2,400,000,000 B 70 1,000,000 70,000,000 C 30 8,000, ,000,000 2,710,000,000 Base Value = 100 December 31, 1992 A ,000,000 a) 2,640,000,000 a)stock split 2-for-1 during 1991 B 67 1,100,000 b) 73,700,000 b)10 % Stock Dividend paid in 1992 C 40 8,000, ,000,000 3,033,700,000 ndex Value = 3,033,700,000 * 100= 1.12*100 = 112 2,710,000,000 ~

22 Morgan Stanley Capital nternational ndices Example of a l\1arket-value ndex ndcx-t+1 = 100* n L i=1 Pi-(t+1) * Ni-t n-l L Pi-(t-l) * Ni-o + Pn-t*Nn-t n i=1 L Pi-o * Ni-o i=1 n-l L i=1 Pi-(t-l) * Ni-o + Pn-(t-l)*Nn-o ~-<:2

23 where Pi-(t+1) = all share prices at calculation date t+1 Ni-t = Pi-o = Ni-o = n-l L: Pi-(t-1)*Ni-o i=1 the total number of shares outstanding at the time of calculation corresponding to the number of outstanding after the previous capital increase all share prices at base date 0 the total number of shares outstanding at base date 0 the market value of all companies(i) which do not require an adjustment for capital increase at date t-l preceding the first adjustment. Pn-(t-l)*Nn-o - Pn-t*Nn-t the market value of company n which is being adjusted for an increase in capital immediately preceding the first adjustment. the theoretical market capitalization of company n which is being adjusted for an increase in capital immediately after this adjustment, at time t. ~

24 Examples of Value Weighted Series 1) S & P ndices a) 500 Stock Composite ndex: 400 ndustrial, 40 utilities, 20 transportation, 40 financial. b) ncludes stocks on NYSE and OTC c) S & P also have 90 individual industry series indices 2) FT100 and FT500 (Great Britain) a) Top 100 and 500 Companies on London Exchange based on market capitalization 3) Morgan Stanley Capital nternational ndices a) 1472 companies listed on the stock exchanges of 20 countries. b) Combined market capitalization of these companies represents about 60% of the aggregate market value of the stock exchanges of these 20 countries. c) Many different indices that are fully comparable d) ndex calulations for reinvested dividends ~

25 Examples of Value Weighted Series (continued) 4) NYSE ndex a) ncludes all stocks on the New York Stock Exchange b) Composite: industrial, bank, insurance, transportation, financial 5) NASDAQ Series a) Over 3800 issues traded on the OTC markets b) Composite: industrial, bank, insurance, other financial, transportation, utility 6) American Stock Exchange ndex 7) Wilshire 5000 a) Over 5000 issues traded on NYSE, AMEX, and OTC b) NYSE has highest influence because of high market capitalization ~

26 Section 4 UNWEGHTED NDCES

27 Unweighted Series definition: Stock index series where all stocks carry equal weight Based on the assumption that an investor randomly chooses stocks and holds an equal cash amount in these stocks ~>

28 Arithmetic vs. Geometric Mean: example June 30, 1992 June 30, 1993 June 30, ,000 Koruna 20,000 Koruna 10,000 Koruna (+100 % ) (-50 % ) Overall 2 Year Return ( ) Arithmetic Mean (+100+(-50))/2 = 25% Geometric Mean «1+1)*(1-.5))1\(1/2)-1.0= 0 % ~~

29 Unweighted Geometric ndex Eg. Value Line index Base=100 Only 3 Stocks (Value Line ndex is actually composed of over 1700) Prior day's close 2500 Previous Day Today Ratio Stock A Stock B Stock C Take Geometric Average (1.04*.96*1.07)1'(1/3) = Today's Close * ~

30 Examples of Unweighted Equity Market ndices 1) Chicago Stocks Price Series 2) Value Line Averages a) Equal Weighted Geometric Average b) Over 1700 stocks, 80% ofstocks are on NYSE c) ncludes over 146 subgroups d) Additions and deletions of stocks present no problem to average because of its large base and method of construction 3) ndicator Digest ndexes a) All stocks on NYSE b) More representative of all stocks on the exchange ~o

31 Section 5 STOCK NDCES & BETA COMPUTATON

32 Systematic Risk Evaluation - Beta Systematic Risk- The variability in an asset's returns that is due to variability in ate market returns. Studies have shown that aggregate market behavior explains between 30 and 40% of the variance for individual securities. A well diversified portfolio can eliminate systematic (unique) risk but cannot eliminate systematic risk. where Corr(sm) = SD(s) SD(M) - Beta = Corr(sm) SDW SD(m) Correlation between the security and the market (represented by the index) Standard Deviation of the security Standard Deviation of the market (index) ~

33 An Example Using Beta Derived from indices Security A Security B Beta Risk more risky than market less risky than market Expect market to increase 10% this year Security A should go up by 13% Security B should go up by 8.7 % Not taking into account unsystematic risk ~

34 Section 6 STOCK NDCES & FORECASTNG

35 Stock Market ndicators and Economic Forecasting Extensive Analysis has shown that stock prices are one of the better leading indicator series in terms of consistency and stability. Stock prices consistently turn before the economy does because in an efficient economy stock prices reflect expectations of earnings and expectations. Stock Market indices are often used as a guage in forecasting economic trends. ~--

36 Section 7 STOCK NDCES & TECHNCAL ANALYSS

37 ndicators and Technical Analysis - Breadth of Market Techniques Measure the number issues that have increased and declined each day Near a peak the index would be increasing but the net advance/decline ratio would become negative, and the cumulative series would begin to decline. The divergence between the aggregate market indicator series and the cumulative advance decline series is a signal for a market peak. At the trough, the composite series would be declining, but a technician would expect the advance/decline ratio to become positive and the cumulative series would turn up before the aggregate market series would 'S

38 Breadth of Market Technique - An Example Day Total ssues Traded Advances Declines Unchanged Net Advances Cumulative Net Advances Changes in the DJA The divergence between the DJA and the cumulative net advances can signal a market peak. ~

39 ndicators and Technical Analysis- Relative Strength relative strength Stock Price market series value f the ratio increases over time the stock is outperforming the market and it is believed that this superior performance will continue for a time. ~

40 Section 8 HEDGNG UTLZNG STOCK NDCES

41 Stock ndex Futures Stock index futures do not call for the physical delivery of stock Maturing Settlements are on a cash settlement basis at the spot value of the index Are quoted in terms of index points, generally in minimum increments of onetwentieth index point (.05). S&P 500, NYSE Composite, and VLCA contracts are valued at 500*ndex, each full point equals $500. Quotation of Stock ndex Futures Eg. S & P 500 Futures (March 5, 1992) Months Jun. Mar. Open High Low Settle Change Value of one June futures contract = 500*452.15= $226,075..s:.. ~

42 Beta-Weighted Hedging using Futures Hedging using stock index futures will offset the systematic risk associated with a stock or a portfolio The most effective hedging pertains to stocks where most of the risk is systematic. This is shown by a high R-squared term when doing a statistical regression comparing the risk of a particular stock with the market. The more diversified the portfolio the higher the R-squared term. Beta is useful in determining how many futures contacts one should hedge Hedge ratio for one stock: HR=[Stockvalue/futuresvalue]*Beta Eg. You have 50,000 shares of stock at $100 a share with a beta of The S&P 500 is at 460. How many S&P 500 futures contracts should one sell in order to hedge. HR=[$S,000,000/($SOO*460)]*1.20 = 26 contracts ~

43 Beta-Weighted Hedging for a portfolio of stocks S&P futures Contract = 460 Stock A Stock B Stock C Shares 30,000 50,000 45,000 Price Value 6,000,000 3,500,000 1,350,000 Beta Adjusted Value 7,920,000 3,220,000 1,485,000 10,850,000 12,625,000 HR = HR = [Beta adjusted value of portfolionalue of 1 futures contract] 12,625,000/(500*460) 55 futures contracts You would sell 55 S&P 500 futures contracts for the period of your hedge. ~

44 Česká verze

45 PŘÍRUČKA BURZOVNÍCH NDEXŮ Vypracoval KPMG Peat Marwick Washington, D.C pro Českou Spořitelnu,a.s. podle smlouvy s U.S. Agency for ntemational Development United States Department of State Washington,D.C. Březen, 1993

46 Část 1 Úvod Obsah Část 2 Cenově vážené indexy Část 3 Hodnotově vážené indexy Část 4 Nevážené indexy Část 5 Burzovní indexy & Beta faktor Část 6 Burzovní indexy & Ekonomické prognózy Část 7 Burzovní indexy & Technická analýza Část 8 Zajišťovací obchody používající burzovní indexy

47 Část 1 ÚVOD ~1

48 Co jsou burzovních indexy? Numerické měření agregovaných výsledků trhů akcií na základě souboru vzorků, specifických početních metod a metod vážených průměrů. ~ 1

49 tl) ~..., h r::: ho ~ rr, () a "tj '"'". _'_,2'''';'' oe. fndfces ~f-':"'-'.--.,';:. :~:.:,:.:.>::..W:!,>.:::) J NEW YORK :'.. Mar Mar. Mar.. Mar /' '....:. :::>, ;.1 D~W JONES Mat Mat Mar Mar " Slnc<l compb.'ion ' X " HlOH" -,. '. LOW"' ',:::;, HlOH LOW HGH LOW' ".,......~... rv"...,.,,.... '... _lal, A &rdnan" 1111/80) '.1613.S ( ) ( ).:' /oj, ~no (111/80) 63ll (317192), ( )., Horn.8on<ls AUSTRA :., Credft A<1en (3ll12184) ( ) (1318/92).; Tradod ndex (211191) ' ( )' ( )... T~.!'. U111l1... (S293) (911002)., (52l3) (lf/32) Ml' ; ' l~:j i.~~~ď j~:j, (1:~~~1)... (812193) (2&B192) {812193}. (817/32) ll (313193) (814192) 133ro3) (84132) OJ ndl. Oay" HQ/l ( ) low ( ) (ThoorellcaJ+).Da1' Hlgh ( ) low ( ) (Actu~+) STANDARD AND POOR'S Composll. * ' ((12193). (8492) (412193) (1/8132) _lal, M (412193) (8(192). (4/2/93) (21/8132) F1nanco , {412193} (814192) (412193) ( ) /lysé Composlle, H (412193). ' (814192) (4/2/93) (25/(/42) Ame, Mkt V~u. m (1~', Jn64~~.. (1~!>' ~i~ WSOAll Composll n ,(412193). (2&B192) -'((12193)' : ( ) :. Feb 26 Feb 19 Feb 12 ye.r "90 ("pprox.) Dow lllluslrlal DY. Y.ld Mar 3.Feb 24,:. Feb 11 year "90 (Bpprox.) S & P.llllusltl~ dl. yleld S & P lllll. PE "Ua NEW YORK ACTVE STOCKS. TRADNG ACTJVllY "'::',-:':... '~ '51~k~';'Closl~g"Change~~'''' ;"tl:v~i~'~éť~1 :-~: ~:.:.l:- M i11~~s-' ; / o:. ~r1d8y traded prlce on day Mar 5 Mar.4. Mar 3 Wa-Mart 4,073,000 32', '. New York SE , UnJsys Corp. '3,610,400' 13'..', Amex' 14.19S ' Humana' 3,441,600 61, " HASOAO Gen MolOB 2,781, ". NYSE. Slar Toch 2,674, SM ' 55', '. '2 ssues Tr'ded PhUlp Morrls Ú1Úoo ~~7ss ChlysJer. 2,568,700 36'....- U h od Merek' 2,430,400 37'2 " Hne ~~lis Pllzer 2, '. H: lo~ 2, i , ,49S 1, '11 CANADA TORONTO Mar MBr Mar Mar HGH 1.0W Metal. & MloeraJs ( ) ( ) Composll ll ( ) : (14/ln'll2) MOHTREAl. Portfolia ( ) (W1M12) Bas8 YSlues of alllndlces 8rlt 100 except NYSE 1\11 Commoll - 50; St<\ndard and Poor's -10; and Toronto Composlte Bll! MelBJ, Toronlo ndleb' bo.m 1975 and Mon~o~ Portfollo 4/1163. t EJceludlng bonds.* Odustrlal, plus Utl1Ues. Ananclal and TransPortlllon. (cl Closed. (ul Unilvallablu. +Jho OJ nd. ndex theorellcal day s hlghs and lows are lha 8varag65 ol lha hlghest ano lowest prtcss reached durlng tho dav by each S1ock; wflerea5 hs actuaf day s hlghs and low's (suppllod by TelekursJ represonl lha hlghast and lowesl vafues lhal lha ndex has reached durtng lha dav. (The figures in brackllts are prevlous day's).. :~~:~~91) f 122Ú5.. 0" (216192) (216192) OENMARK '. Copenhag.n SE (Í/163) 283.3ll ' (15/1192) (2811M12) ~ FNlANO'.:. HEJ( Oenera) ( O) (513193) (119192) FRANCE : CAC GoneraJ ( ) ( ) (111002) CAC 40 (31/12/87) ( ) (511002) OER MANY ~. '. FPl Akten (311121S8) , ( ) ( ) CommO'lbank ( ) / (2S15192) ( ) DAX ( n., (2S15192) ll(611M12) HONO KONO: (513193). RElANO ~, Hano Sono Bank ( ) ll1.78 (211192) SEO Ov""" ( ( ) ( ) TALY" 'i Banca Com. 11a. (1972) (612192) MS G.n"'1 (411193) (213193) JAPAN.. ',.' &'91112) (11/1193) ' N;k1<e1 (161Sf49J (611192) (18Nn) Tokyo SE (Topx) 14/1168) (611192) ( ).. 2n<1Soctton{411188} (611192) 1502.n (191Ml2) MAL4YSA.'.. Q.5t Compo'ft. (4/4/86) (5/11192) (14/1192) NETHERlANOS'.Cll5 TU.l1n.Gen.trllll 1383) (813193) (811192) ".; Cll5 AJ) Sllr (End19113).. ' ' , ' (83931', ( )'.'~,: NOnWAY.!",':.' 0.10 SE Qnd) (263) m.74tl815192) &'112) PHUPPNES ' i', ',,',. ' Manil' Comp (211185) ( ) l'll2) SNOAPORE ': '..., '.:,' ::.l'.' ~. '-'.,' -.,~ ~,-_.", SES AJ-Slno,pore {24n5} (24/2/93) 351:41 (21/1M12). SOUTH' "FRCM< JSE God ( ) '( \, , ( ) ( ) : JSE ndus1rtal ( ) '4421.0' ' « (416192) ( ).',SOUTH.KOREA1,'..' k",., Comp Ex. (4/1180) ' (911193) ' ( ) SPAJN -''.; Madrkl SE' (301121asi ' ( ) (5'10192) SWEOEN.1 Aft"""'~den lon. (112137)' (813193) (51Ml21 SWTZERl.ANO ;:,. Swlss flank nd. ( ) ( )' (81192) SSC Gen",1 (114/87)' 7lJ (313193) (268l12)' TAWAN" ~; Welghlod l'ce (3ll16l66) ' ( ) 3ll86.43 (911193) THAL4NO,., ' Bangkok SET ( {e} «(25/1193) (l!l'5192) WOnLD\ M.S. Capllld nll.(/7o) $. 520.Z (71l192) (841il2) Euro TO>"00 ( ) t ( ) (5'ln'9/) "5alunl', March 6: 1... W,lghled Prlce: , Koma Canp Ú , SubJcd 10 ol1ld~ rocajculallon. t Croecllon.. 'COlcu~1ed Ol Base val"" ol aj ndi'" ~, 100 '''''p1:!ujslj\a lr.lded. aruo. HE1 Gen.. M8 Gen.. CAC+O. Eu", 10p-100. isfo Qver:l erxl 00: JSf Gold , JSE 26 nd""""" end Aus",~ NJ OrdiM'Y end!<1n! ; (cl CWed. (ul - : '.' ~ ~

50 Použití burzovních indexů 1. Zkoumání celkových výnosů daného trhu v průběhu specifikovaného období za účelem posouzení výsledků dosažených individuálním portfoliem s přihlédnutím k různorodým rizikovým faktorům. 2. Zkoumání faktorů, které ovlivňují pohyb agregované ceny akcií. 3. Předpovědi budoucích pohybů cen prostřednictvím analýz. 4. Rozlišení systematického rizika ovlivňující individuální cenný papír na trhu. v' a 2

51 Vzorky pro konstrukci indexů 1. Velikost vzorku 2. Reprezenativnost vzorku 3. Zdroje vzorku -..r... 3

52 Početnímetody 1. Jednoduchý aritmetický průměr 2. Výpočet indexu k dané bázi 3. Geometrický průměr ~ 4

53 Metoda vážených ukazatelů 1. Cenově vážené 2. Hodnotově (cena x počet) vážené 3. Nevážené j'... v 5

54 Část 2 CENOVĚ VÁŽENÉ NDEXY

55 Cenově vážené Definice: Příklady: aritmetický průměr běžných cen Dow Jones ndustrial Average (New York Stock Exchange) DAX (Frankfurt) National Quotation Burea Average (OTC) ~-., v-... 6

56 ndex: Dow Jones ndustrial Average 30 velkých společností nejvyšší bonity (blue chips) kotovaných na NYSE ndex se počítá jako součet cen 30 akcií dělený údajem beroucím v úvahu "rozmělnění akcií" a změny ve vzorku v průběhu času. V případě rozmělnění akcií se jmenovatel zmenšuje. Akcie s vyšší cenou mají větší váhu v ukazateli než akcie s nižší cenou. 'P- 7

57 Příkladna použití cenově váženého Dow Jones indexu Dopady 10% změny v cenách dvou různých akcií Situace A Situace B Akcie A Akcie B Akcie C Součet Dělitel Průměr % změna 6.7% 1% Bez přihlédnutí k objemu obchodů na trhu se 10% nárůst akcií o vyšší ceně výrazněji odrazí na cenově váženém indexu než stejný nárůst u akcií s nižšími cenami. ~ 8

58 Změna ve jmenovateli indexu DJ při "rozmělnění akcií" Před rozmělněním Po rozmělnění v poměru 2 za 1 Pro akcii B Akcie A AkcieB Akcie C /3= /x=100x=2.65 ~ 9

59 ~------~--- Kritika indexu Dow Jones ndustrial 1. Vzorek populace je příliš malý a nereprezentuje typickou firmu 2. Akcie s vyššími cenami mají neadekvátní dopad na celkový index 3. Efekt "rozmělnění" akcií má za následek sestupný efekt v>.. ~ 10

60 Další cenově vážené indexy 1) DAX Obdobný výpočetjako Dow Jones lndustrial Average 30 firem nejvyšší bonity (blue chips) na Frankfurtské burze 2) "National Quotation Bureau Average" 35 průmyslových firem nejvyšší bonity obchodovaných přes are trh 'S

61 Část 3 HODNOTOVĚ VÁŽENÉ NDEXY

62 Hodnotově (objemově)vážené indexy Definice: indexy vážené objemem obchodů vyjádřeným hodnotově ~ 12

63 Hodnotově (objemově)vážené indexy LPtQt ndex-t = LPbQb * počáteční hodnota indexu ndex-t = Pt Qt Pb = Qb - hodnota indexu dne T uzávěrková cena akcie ke dni T počet vydaných akcií ke dni T uzávěrková cena akcie k základnímu dni počet vydaných akcií k základnímu dni ~ ~ 13