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Whataremarketindices?
Summarymeasureofmovementsorlevelsofamarketofsecurities.
Barometerofchangesinmarketvaluation.
2
MarketIndices,
Usesofmarketindices
Asbenchmarks
Tocreateandmonitorindexfunds
Measuremarketratesofreturn
Toforecastfuturemarketmovements
Asaproxyforthemarketportfolio
3
MarketIndices,
Factorstoconsider
Sampleofsecurities
Weightsapplied
price,value,equal
Computationprocedures
typeofaveraging
Methodofadjustingforsplits,etc.
4
MarketIndices,
Price-weightedseries
Example:DowJonesIndustrialAverage(DJIA)
Highgrowthcompaniestendtolosetheirimportanceinaveragesbecauseofstocksplits
5
MarketIndices,
Example
Stock
Priceatt
Priceatt+1
Numberofsharesatt
Numberofsharesatt+1
X
$10
$15
100
100
Y
$20
$15
150
150
Z
$30
$18
200
400
StockZsplit2:1betweentandt+1
6
MarketIndices,
Calculationofprice-weightedaverage
Averaget =(10+20+30)/3=20
Divisorfort+1:
ThevalueXthatwouldmake: [10+20+(30/2)]/X=20
X=
Averaget+1 =(15+15+18)/
=
7
MarketIndices,
Value-weightedseries
Avalue-weightedseriesusesthemarketvalueoftheseriesatapointintimeasitsbase.(.,base=100)
Theindexautomaticallyadjustsforsplitsanddividends.
8
MarketIndices,
Calculationofavalue-weightedseries
Continuingsameexample,butthebasevalueis$5,000andtheindexis100.
9
MarketIndices,
Problem
Considerthefollowing:
Stock Pt Pt+1 Sharest Sharest+1
M $10 $12 1,000 1,000
N $20 $22 2,000 2,000
O $60 $20 1,000 3,000
Ohada3:1splitbetweentandt+1
15
MarketIndices,
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