...the globe for calculating Stock Index) By: Echo Group Russian Trading System (RTS) Stock Exchange 1. Eligibility Factors 2.1. Market Capitalization 2.2.1. A stock’s weight in an index is determined by the float-adjusted market capitalization of the stock 2.2.2. Each company’s market capitalization is capped at 15% in the RTSI and RTS2, and at 25% in the RTS Sector Indices, to restrict the weight of any one company dominating the entire index. 2.2. Liquidity: Securities that do not meet the following criteria over the three month period preceding the date of the revision are excluded from the index eligibility list 2.3.3. The average number of companies-brokers that submitted the “bid” and “ask” quotes for the security at the end of the trading session is at least two. 2.3.4. 2. The average spread between the “ask” and the “bid” prices at the end of the trading session is less than or equal to 15%, as compared to the buying price. 2.3.5. 3. The security should have two-sided quotes in the trading system at the end of the trading session for at least 90% of the trading days of a given period. 2.3.6. 4. The daily average number of transactions in this security is greater than or equal to 0.5. 2.3.7. 5. The daily average trading volume in this security is greater than or equal to US$ 3,000 2.3. Domicile. 2.4.8. Only stocks of a Russian domicile are...
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...The DAX is a is a blue chip stock market index made up of 30 major German companies trading on the Frankfurt Stock Exchange, founded in July 1988. DAX stands for Deutscher Aktienindex, translated literally to German Stock Index. The DAX is equivalent to the Dow Jones Industrial Average here in the US. The 30 stocks that make up the DAX are simply the 30 largest companies on the Frankfort Stock Exchange, based on order book volume and market capitalization. DAX is a Capitalization-weighted index. The DAX is a large cap type of stock index that has to indexing versions. The two versions report different values. The first version is the performance index. This version is more commonly quoted and includes dividends in the quote. The second version is the price index. This version is most similar to other indices in other countries and markets. The price index is calcultated like any weighted average, Current index = Current total market cap of constituents × Previous Value / Previous Period. The DAX started out at 1,000 from its base date in December of 1987, before it was first calculated and published in July of 1988. The highest closing price for the DAX occurred this year in April on the 10th, when it closed at 12,374.73. Today the closing price was 10,131.74. Some of the more familiar companies on the DAX are Adidas, BMW, Bayer, BASF, SAP, Siemens, and Volkswagon. The trend of the DAX is fairly similar to that of the Dow Jones Industrial Average...
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...Finance 金融, 2012, 2, 151-154 http://dx.doi.org/10.12677/fin.2012.23017 Published Online July 2012 (http://www.hanspub.org/journal/fin) The Empirical Research on the Effect of Investor Sentiment for the Stock Market of China Based on Stock Index Futures Yongquan Pan, Zi Lin Dongling School of Economics and Management, University of Science and Technology Beijing, Beijing Email: yqpan@ustb.edu.cn, linziliz@sina.com Received: Feb. 6th, 2012; revised: Feb. 26th, 2012; accepted: Mar. 4th, 2012 Abstract: This paper discusses the affect of stock index futures for investor sentiment’s measure and study if the new indicator has better interpretation to stock returns than before. Finally, the reflection of the negative emotions on the market is studied by this indicator. Keywords: Investor Sentiment; Stock Index Futures; Stock Return 基于股指期货的投资者情绪对中国股市 影响的实证研究 潘永泉，林 梓 北京科技大学，东凌经济管理学院金融工程系，北京 Email: yqpan@ustb.edu.cn, linziliz@sina.com 收稿日期：2012 年 2 月 6 日；修回日期：2012 年 2 月 26 日；录用日期：2012 年 3 月 4 日 摘 要：本文将股指期货合约作为投资者情绪的度量指标，研究在此基础上构建的投资者情绪指标是 否对于股票收益率有更强的解释能力，并以此研究其对股票市场的消极情绪是否反映的更为充分。 关键词：投资者情绪；股指期货；股票收益率 1. 引言 在之前的研究中，由于我国实际上没有做空机 投资者非理性行为是否会影响股票价格和收益 制，所以在测度投资者情绪时经常采用市场换手率、 是现代金融理论和行为金融理论争论的焦点。现代金 封闭式基金折价和投资者开户增长率等指标，但是， 融理论认为，在某种程度上某些投资者可能并非理 自从 2010 年以来，股指期货市场出现，投资者可以 性，但由于他们之间的交易是随机进行的，所以他们 利用股指期货来做空股票，因此之前的测度中，市场 的非理性会相互抵消， 股票价格不会受到影响。 因此， 的消极情绪反映的不够充分， 但是， 有了做空机制后， 股票的价格等于其基础价值，股票的预期收益由其基 市场的消极情绪得以反映。 ...
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...ECONOMICS & STRATEGY THE JSK STRATEGIST June 07, 2010 Federal Budget 2011: Affordability Vs. Sustainability!! A Blurry Hype Or A Leap Of Faith?? Executive Summary At the national front, government remained excessively occupied with budgetary measures to be adopted in the finance bill, that were announced on June 5th. Capital market participants and investors, in anticipation, distanced away from large exposures as federal budget closed in, with implementation of Capital Gains Tax (CGT) on stock market transactions. Nationwide implementation Value Added Tax (VAT) regime at 15% has been deferred by three months in order to develop a productive framework for enforcement and collection mechanisms. Addressing IMF’s concerns, the removal of subsidies and a raise in power tariff by 6%, in addition to the expansion of country’s tax base remained core issues in recent budget announcements. Economic Recovery: Exceeds Expectations! Federal government revised GDP growth levels to 4.5% from a low of 4.1% sighting better than expected economic recovery for FY2010. Expansion in large scale manufacturing and growth in services sector would be the key factors contributing to economic growth with 5.6% share of manufacturing, 4.6% for services and 3.8% for agriculture sector. Also, the crippling power sector with the introduction of costly rental power plants is expected to provide significant relief to the industrial sector. Additionally, government is making all out efforts to curtail...
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...12 March 2012 The US Dollar and Japanese Yen rose as stocks fell amid global economic slowdown fears in Asia. Stock index futures hint more of the same is likely ahead. Talking Points * US Dollar, Yen Rise on Haven Demand as Stocks Fall in Asian Trade * Chinese Exports Disappointment Tipped as Catalyst for Sentiment Slump * European, US Stock Index Futures Point to More Risk Aversion Ahead The US Dollar and Japanese Yen outperformed overnight as stocks declined, stocking demand for the go-to safe haven currencies. The MSCI Asia Pacific regional benchmark index fell 0.3 percent, with the newswires chalking up the selloff to Chinese trade data released over the weekend. The East Asian giant reported that exports grew at an annual rate of 18.4 percent, disappointing economists’ expectations of a 31.1 percent increase. Given that China is the world’s largest exporter, the outcome was interpreted to reflect slowing global demand. We are skeptical of assigning too much significance to the Chinese trade data set however. Although certainly not a positive outcome, it didn’t represent anything particularly new. Indeed, the year-on-year exports growth rate has been trending lower since May 2010. Rather, we suspect the flare-up of risk aversion reflects the gradual return of big-picture fundamentals as the driving force for price action, with the Chinese data acting as a trigger rather than a catalyst in its own right. With Greek fiasco seemingly in the rearview mirror...
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...NIKKEI 225 RECONSTITUTION 1) As a portfolio manager for the HEC-UNIL Advisors Nikkei 225 Index Fund, which has ¥100 billion of assets linked to Nikkei 225 index, what would you do when you hear the news of index reconstitution? The Nikkei 225 is a price-weighted average of the stocks it incorporates. It simply adds the prices of the 225 stocks and divides this sum by a divisor. When the announcement about index change takes place, the index is calculated as the above-mentioned method until the new composition of stocks becomes effective. The announcement date and the date of “effectiveness” are different – there is a time period between them. After the effectiveness date the shares of new member companies are added and divided by the new divisor. The price sequence has to be maintained by the index. Therefore, the new divisor is calculated to guarantee the sequence before and after the effectiveness date. The equation below must be satisfied: Σ 225 stocks before changeDivisor before change= Σ 225 stocks after changeNew divisor From the point of view of one who does not like a lot of risk and wants to minimize it. So, I would like to sell stocks that will be deleted and then will be stocks that will be added one day before the effectiveness date. In this case, if I would be able to swap the deletions and additions at the date, I would bear no risk. 2) What would you do if, instead, you were at the proprietary trading desk of Goldman Sachs? There are two possible...
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...Meaning you buy and sell them in real time just like stocks -- except that with an ETF you're controlling hundreds of stocks with a single trade! Giving you the power to instantly diversify your portfolio or quickly seize opportunities to profit from coming macroeconomic trends (like an energy crisis or a housing boom) that could push a basket of stocks up or down. A quick example: Want to tap into the wealth-building power of the international markets? (And hedge against your U.S. investments?) Purchase an ETF that tracks the developed international markets of Europe, Australasia, and the Far East (the MSCI EAFE Index). It's like adding 800 of the very best international stocks to your portfolio -- instantly! And for just 0.35% in annual fees. One more: You may have heard the old adage "Small caps lead bull markets." Truth is, small caps don't just lead into bull markets, they charge into them -- handing investors an average return that's more than double that of the S&P 500, according to data from RidgeWorth Funds (a Lipper Award-winning firm). Want to expose your portfolio to that kind of growth? All you have to do is snap up an ETF that mirrors the small-cap index -- the Russell 2000. And it costs you less than 0.25% annually. That's 65% cheaper than what the average mutual fund charges. And you're harnessing the collective power of thousands of stocks. With ETFs, you're able to buy a diversified group of stocks from any sector, market capitalization, region, or...
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...Given declines in global stock markets, many investors have seen little to no real growth in their portfolios over this period. For example, $10,000 invested in the S&P 500 Market Index in 2000, was worth just $10,456 at the end of 2010. And this does not take into account inflation, investment fees and taxes.1 This White Paper explains why investors’ portfolios may underperform in both bear and bull markets and incur substantial costs in the process. It also details the impact this chronic underperformance can have on achieving long-term financial goals. Threat 1: The Expenses of Active Management Most us would like to beat the market, but as we’ll explore in this whitepaper, even many professional money managers have had a hard time performing better than the market. To understand why, it is helpful to begin with some definitions. Active investors (and active money managers) attempt to out- perform stock market rates of return by actively trading individual stocks and/or engaging in market timing — deciding when to be in and out of the market. Those investors who simply purchase “the market” through index or asset class mutual funds are called passive or “market” investors. Active mutual fund managers are typically compared to a benchmark index. For example, large cap mutual funds are often compared to the S&P 500 index. To beat the index, an active mutual fund must perform better than the weighted average return of those companies in the index. And they must do so while...
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...A Tax Free Retirement by Tom Koziol on November 21, 2009 Doesn’t that sound dandy? Retiring with tax free dollars. Almost reads like a come-on from a certain East Coast based investment hustler. My friends, as of this writing if you own the product I am about to explain, you have a tax free retirement vehicle second to none. How you grow it determines how much you’ll have at retirement. I bring this to your attention because the new Obama administration is making a lot of noise about the 401ks, IRAs, SEPs and other pension funds you now own. They want to roll all of them into something called a GRA – government retirement account. These newly elected politicians have the same thought theology that created the Department of Energy to free us from dependence on foreign oil (that’s working isn’t it?) and the Department of Education to make our kids smarter (our students rank in the top 80% of the world, right?). Oh, lest I forget, the war on drugs. That’s another marvelous program brought to you by the same intellectual thinkers. Social Security Not Really A Worry For everyone who is wondering if social security will be there for them when they retire, quit worrying. It isn’t there today. The government melded the SS funds into the general account so as to make the deficit look smaller than it really was. I’ll let you guess the name of the president who concocted that sleight of hand. By the way, you shouldn’t even have this particular worry – about this thing some call...
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...STOCKHOLM SCHOOL OF ECONOMICS Master thesis within Finance Evaluating the Performance of Socially Responsible Investment Funds: A Holding Data Analysis H. Camilla Stenström* Jessica J. Thorell** Abstract: This paper investigates the performance of regular mutual funds compared to Socially Responsible Investment (SRI) mutual funds, over the time period of January 2001 to September 2007. The paper extends the research on the performance of SRI funds by using holding data of regular funds to create replicating portfolios. In the replicating portfolios, unethical investments are excluded according to a norm-based screening list, hence creating artificial SRI funds. The replicating portfolio returns are then used as a benchmark to compare against the SRI funds’ and regular funds’ returns. Results from the study indicate that an exclusion of companies according to norm-based screening can improve a fund’s performance. However, when looking specifically at the fund management of SRI funds, the results point towards inferior performance compared to regular funds. Key Words: Socially Responsible Investment (SRI) funds, ethical investments, holding data analysis, norm-based screening PhD Stefan Engström 13:15-15:00, December 14, 2007 Room 349, Stockholm School of Economics Tutor: Presentation: Venue: * 19873@student.hhs.se ** 19924@student.hhs.se H.C. Stenström and J.J. Thorell ACKNOWLEDGEMENTS Special thanks to tutor PhD Stefan Engström for all support and guidance...
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...AAMJAF, Vol. 4, No. 2, 43–65, 2008 ASIAN ACADEMY of MANAGEMENT JOURNAL of ACCOUNTING and FINANCE THE IMPACT OF DERIVATIVES ON STOCK MARKET VOLATILITY: A STUDY OF THE NIFTY INDEX T. Mallikarjunappa1* and Afsal E. M.2 1 Department of Business Administration, Mangalore University, Mangalagangotri – 574199, Mangalore, DK, Karnataka, India 2 School of Management and Business Studies, Mahatma Gandhi University, P.D. Hills, Kottayam – 686560, Kerala State, India *Corresponding author: tmmallik@yahoo.com ABSTRACT This paper studies the volatility implications of the introduction of derivatives on stock market volatility in India using the S&P CNX Nifty Index as a benchmark. To account for non-constant error variance in the return series, a GARCH model is fitted by incorporating futures and options dummy variables in the conditional variance equation. We find clustering and persistence of volatility before and after derivatives, while listing seems to have no stabilisation or destabilisation effects on market volatility. The postderivatives period shows that the sensitivity of the index returns to market returns and any day-of-the-week effects have disappeared. That is, the nature of the volatility patterns has altered during the post-derivatives period. Keywords: conditional volatility, heteroscedasticity, volatility clustering, market efficiency INTRODUCTION The modelling of asset returns volatility continues to be one of the key areas of financial...
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...1. The American Customer Satisfaction Index (www.theacsi.org) The American Customer Satisfaction Index (ACSI) is an economic indicator based on modeling of customer evaluations of the quality of goods and services purchased in the United States and produced by both domestic and foreign firms with substantial U.S. market shares. ASCI interviews more than 80,000 Americans every year about the satisfaction from the products and services that they have consumed. It uses that in a model developed by University of Michigan to measure customer satisfaction. So, the methodology uses customer interviews and econometric modeling. Over the years, ACSI have been able to identify the industries and sectors that have been performing well, and the ones that are not. ACSI provides customer satisfaction for a company, which correlates with the financial performance and the stock price of the company. Moreover, as consumer spending account for 70% of GDP, it also correlates with GDP growth changes. Manufacturing good industries tend to score higher, as they require lower level of service. Companies that tend to improve quality fair better on the index than companies that tend to reduce price. It also provides the overall industrial satisfaction index, which is helpful especially in case of acquisitions. Strengths: Companies can use ACSI as a tool to optimize their customer satisfaction to drive customer loyalty. It benefits investors, who would like to know a relation between the company’s...
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...first in 2009, by a margin of 25 per cent. The research, run in partnership with Cass Business School, shows that Asia-Pacific dealmakers completed 183 deals in 2012 compared to 128 by their European counterparts, and similarly, completed more deals in every quarter of the year. The year-end figures, which contains data on all deals over $100 million completed in the year, show North American companies accounted for 422 deals, well over half of those completed worldwide this year. In terms of performance, Asia-Pacific companies that completed M&A deals performed in line with their MSCI index over the year. Despite an increase in activity by North American acquirers relative to their peers, year-to-date figures show post-deal performance of 1.3 pp below the North American MSCI index. In comparison, European acquirers continued to fare well with a positive performance 2.4 pp above the European MSCI index, even though the volume of deals completed was at its lowest level since 2009. Steve Allan, M&A Practice Leader for Europe at Towers Watson, said: “Asia-Pacific has steadily increased deal volumes throughout the year in contrast to Europe which has seen a steady decline in the number of deals taking place. Uncertainty and poor performance in the Eurozone have contributed to European acquirers having engaged in fewer deals since their peak in mid-2011. Yet those companies that have seen deals through to completion, continue to perform well compared to their peers and add value for...
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...to trend-following strategies that provide an inefficient risk-return trade-off. Also, while capitalization-weighting is the standard in equity index construction, different weighting schemes exist. First, while most indices use capitalization-weighting, additional criteria are often taken into account, such as sales/revenue and net income (see the “Guide to the Dow Jones Global Titan 50 Index”, January 2006). Second, as an answer to the critiques of capitalization-weighting, equity indices with different weighting schemes have emerged, such as "wealth"-weighted (Morris, 1996), “fundamental”-weighted (Arnott, Hsu and Moore 2005), “diversity”-weighted (Fernholz, Garvy, and Hannon 1998) or equal-weighted indices. [edit] Indices and passive investment management There has been an accelerating trend in recent decades to create passively managed mutual funds that are based on market indices, known as index funds. Advocates claim that index funds routinely beat a large majority of actively managed mutual funds; one study[citation needed] claimed that over time, the average actively managed fund has returned 1.8% less than the S&P 500 index - a result nearly equal to the average expense ratio of mutual funds (fund expenses are a drag on the funds' return by exactly that ratio). Since index funds attempt to replicate the holdings of an index, they obviate the need for — and thus many costs of — the research entailed in active management, and have a lower churn rate (the turnover of securities...
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...Harvard Business School 9-293-024 Rev. December 16, 1994 BEA Associates: Enhanced Equity Index Funds On the afternoon of July 13, 1992, Messrs. Jeffrey Geller and David DeRosa, derivatives portfolio managers at BEA Associates, were considering alternative ways of investing the assets of a new $100 million enhanced index account. They wanted to find the most attractive combination of derivative and cash market positions to achieve the client's objective which was to outperform the S&P 500 stock index by 50 basis points in a low risk manner. The alternatives included the use of over-the-counter equity swaps, a relatively new financial instrument that had proliferated in recent years. BEA Associates BEA Associates was an investment advisory firm founded as Basic Economic Appraisals in 1934. As of March 31, 1992, the firm managed $15.4 billion representing over 164 institutional clients. Its separate accounts clients were principally corporate, public, and multiemployer pension funds, and foundations and endowments. BEA also managed several mutual and commingled funds, and a number of closed-end country funds. The firm employed 33 investment professionals—most of whom had 10 years or more of experience—and 76 support staff. BEA offered a variety of specialized investment management services grouped under equities ($3.4 billion), fixed income ($5.6 billion), derivative-based strategies ($5 billion), and international equities ($1.6 billion). (See Exhibit 1). The firm boasted...
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