Ch

400 Stock Industrial Index 40 Stock Utility Index 40 Stock Financial Index 20 Stock Transportation Index
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Value Weighted Indexes
The S&P 500 is compute by calculating the total market value of 500 firms in the index and the total market value of those firms on the previous day of trading.
Chapter 2
Money Market (货币市场) Capital Market（资本市场） Market Indexes（股票市场指数）
Stock Market Indexes(股价指数) Examples of Indexes –International Examples of Indexes –Domestic Bond Indexes（债券市场指标）
Difference
The S&P 500 is a more broadly based index of 500 firms; The S&P 500 is a market-value-weighted index, and it unaffected by the stock splits.
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Examples of Indexes -International
Dow Jones Average（道琼斯平均数） Standard & Poor’s 500 Composite（标准普尔 500指数） NYSE Composite （纽约证交所综合指数） NASDAQ Composite（那斯达克综合指数） Nikkei 225 & Nikkei 300（日经指数） FTSE (Financial Times of London)（伦敦金融 时报指数） Heng seng Indexes（恒生指数）
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Financial Times Indexes
Financial Times Indexes are indicators to measure the performance of U.K. stock market.
FTSE 100 Index is calculated 100 large oversea firms which listed on London Stock Exchange. FTSE 30 Index is calculated 30 large firm stocks.
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NYSE indexes
New York Stock Exchange Indexes has been calculate since 1966, it is a indicator to measure the performance of the stock in New York Stock Exchange, include:
Options and futures（期权和期货）
Options Futures
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Stock Market Indexes
Stock Market Indexes(股票市场指数) are indicators to measure the performance of the stock market Uses
1 pav pi n i1
Where, pav is the stock price average.
2-5
n
Example:
Data to Construct stock price indexes
Stock
Initial Price ($) Final Price ($) Initial Value of Shares Outstanding stock (million) ($ million) Final Value of Outstanding stock ($ million)
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Standard & Poor’s 500 Indexes
It has been calculate since 1923, and included 223 corporation stocks. Since 1957, Standard & Poor’s 500 Indexes include 500 firm stocks:
ABC XYZ
25 100
30 90
20 1
500 100
600 90
Total
index
600
690
115
Data to Construct stock price indexes After a Stock split
ABC XYZ Total index 25 100 30 45 20 2 500 100 600 600 90 690 115
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2-6
Adjusted Averages
Adjusted Averages: Following a stock split, changing of the average composition, or paying a stock dividend, the divisor of the average must be reduced that leaves the average unaffected.
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Price-Weighted Averages
The DJIA was calculated as the simple average of the stocks included in the index. Because the Dow measure the return (excluding dividends) on a portfolio that holds on share of each stock, it is called a price-weighted average.
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Data to Construct stock price indexes
Stock Initial Price ($) Final Price ($) Initial Value of Shares Outstanding stock (million) ($ million) Final Value of Outstanding stock ($ million)
ABC
25
30
20
500
600
XYZ
Total
100 62.5
90 60
1
100
600
90
690
DJI
Price-weighted averages give higherpriced shares more weight in determining performance of the index.
Industrial index Transportation index Utility index Financial index Composite index
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NASDAQ Composite
NASDAQ Composite has been calculate since 1971, it is a indicator to measure the performance of the stock in NASDAQ.
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The S&P 500 and Dow Jones Average
Both indexes reflect the returns to straightforward portfolio strategies. If one were to buy each share in the index in the proportion to its outstanding market value, the value-weighted index would perfectly track capital gains on the underlying portfolio. The price-weighted index track the return on a portfolio comprised of equal shares of each firm.
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Data to Construct stock price indexes
Stock Initial Price ($) Final Price ($) Initial Value of Shares Outstanding stock (million) ($ million) Final Value of Outstanding stock ($ million)
20 airline, trucking, and railroad stocks
Dow Jones Utility Average(DJUA)
15 electric and natural gas utilities
Dow Jones Composite Average(DJA)
The 65 firms of the three separate averages.
I
Q
i 1 n
n
it
pit
Where, Qi 0 pi 0 Pit is the final price i 1 Pi0 is the initial price Qit is the final shares of outstanding stock Qi0 is the initial shares of outstanding stock
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Dow Jones Average
Dow Jones Industrial Average(DJIA)
It has been calculate since 1896. 30 large, “blue-chip” corporations
Dow Jones Transportation Average (DJTA)
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Adjusted Averages
` p av

i 1
1
n
pit


1 n
n

i 1
i 1 n
pit pi ( t 1)
Where, pav` is the adjusted average, δ is the adjusted coefficient, Pi(t-1) is the initial price, Pit is the final price after a split.
Track average returns Comparing performance of managers Base of derivatives
Factors in constructing or using an Index
Representative? Broad or narrow? How is it constructed?
ABC XYZ
25 100 62.5
30 90 60
20 1
500 100
600 90
Total
DJI
600
690
Data to Construct stock price indexes After a Stock split
ABC XYZ Total DJI 62.5 37.5 25 100 30 45 20 2 500 100 600 600 90 690
A-DJI
62.5
60
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除权、除息：因股本增加或分红引起每股净 资产减少，需在事后剔除其影响，因股本增 加引起的剔除行为叫除权；因分红引起的剔 除行为叫除息。
股权登记日收盘价＋配股比例 配股价－每股所派现金 除权、除息基准价＝ 1 送股比例＋配股比例
例：某上市公司今年分配方案为10送1配2， 除权登记日收盘价为15元/股，配股价为10 元/股，除权后基准价应为多少？