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Bandi, 2010 Chpt 5 FE UNS
Chapter 5
Security-Market Indicator Series
Questions to be answered:
1. What are some major uses of security-market indicator series (indexes)?
2. What are the major characteristics that cause alternative indexes to differ?
3. What are the major stock-market indexes in the United States and globally and
what are their characteristics?
4. What are the major bond-market indexes for the United States and the world?
5. What are some of the composite stock-bond market indexes?
6. Where can you get historical and current data for all these indexes?
7. What is the short-run relationship among many of these indexes in the short
run (monthly)?
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Bandi, 2010 Chpt 5 FE UNS
Uses of Security-Market Indexes
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Bandi, 2010 Chpt 5 FE UNS
Differentiating Factors in
Constructing Market Indexes
The sample
• size
• breadth
• source
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Bandi, 2010 Chpt 5 FE UNS
Differentiating Factors in
Constructing Market Indexes
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Bandi, 2010 Chpt 5 FE UNS
Differentiating Factors in
Constructing Market Indexes
Computational procedure
• arithmetic average
• compute an index and have all changes,
whether in price or value, reported in
terms of the basic index
• geometric average
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Bandi, 2010 Chpt 5 FE UNS
Stock-Market Indicator Series
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Bandi, 2010 Chpt 5 FE UNS
Example of Change in DJIA Divisor
When a Sample Stock Splits
After Three-for One Exhibit 5.1
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Bandi, 2010 Chpt 5 FE UNS
Nikkei-Dow Jones Average
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Bandi, 2010 Chpt 5 FE UNS
Value-Weighted Series
Index t =
∑ PQ t t
× Beginning Index Value
∑P Q b b
where:
Indext = index value on day t
Pt = ending prices for stocks 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
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Bandi, 2010 Chpt 5 FE UNS
Unweighted Price Indicator Series
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Bandi, 2010 Chpt 5 FE UNS
Unweighted Price Indicator Series
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Bandi, 2010 Chpt 5 FE UNS
Global Equity Indexes
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Bandi, 2010 Chpt 5 FE UNS
FT/S&P-Actuaries World Indexes
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Bandi, 2010 Chpt 5 FE UNS
FT/S&P-Actuaries World Indexes
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Bandi, 2010 Chpt 5 FE UNS
FT/S&P-Actuaries World Indexes
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Bandi, 2010 Chpt 5 FE UNS
Morgan Stanley Capital
International (MSCI) Indexes
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Bandi, 2010 Chpt 5 FE UNS
Morgan Stanley Capital
International (MSCI) Indexes
• All the indexes are market-value weighted
• Reporting is in U.S. dollars and the country’s local currency
• Also provides
– price to book value (P/BV) ratio
– price to cash earnings (earnings plus depreciation) (P/CE)
ratio
– price to earnings (P/E) ratio
– dividend yield (YLD)
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Bandi, 2010 Chpt 5 FE UNS
Morgan Stanley Capital
International (MSCI) Indexes
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Bandi, 2010 Chpt 5 FE UNS
Dow Jones World Stock Index
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Bandi, 2010 Chpt 5 FE UNS
Comparison of World Stock Indexes
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Bandi, 2010 Chpt 5 FE UNS
Bond-Market Indicator Series
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Bandi, 2010 Chpt 5 FE UNS
Difficulties in Creating and Computing
Bond-Market Indicator Series
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Bandi, 2010 Chpt 5 FE UNS
Investment-Grade Bond Indexes
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Bandi, 2010 Chpt 5 FE UNS
High-Yield Bond Indexes
• Non investment-grade bonds
– rated BB, B, CCC, CC, C
• Four investment firms and two academicians created
indexes
• Relationship among alternative high-yield bond indexes is
weaker than among investment grade indexes
• Merrill Lynch Convertible Securities Indexes
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Bandi, 2010 Chpt 5 FE UNS
Global Government Bond Market
Indexes
• Global bond market dominated by government issues
• Several indexes created by major investment firms
– Measure total rates of return
– Use market-value weighting
– Use trader pricing
– But sample sizes differ as do numbers of countries included
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Bandi, 2010 Chpt 5 FE UNS
Global Government Bond Market
Indexes
• Differences affect long-term risk-return performance
• Low correlation among several countries is similar to
stocks
• Significant exchange rate effect on volatility and
correlations
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Bandi, 2010 Chpt 5 FE UNS
Composite Stock-Bond Indexes
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Bandi, 2010 Chpt 5 FE UNS
Merrill Lynch-Wilshire U.S. Capital
Markets Index (ML-WCMI)
• Market-value weighted index measures total return
performance of the combined U.S. taxable fixed income
and equity markets
• Combination of Merrill-Lynch fixed-income indexes and
the Wilshire 5000 common-stock index
• Tracks over 10,000 stocks and bonds
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Bandi, 2010 Chpt 5 FE UNS
Brinson Partners Global Security
Market Index (GSMI)
• Includes:
– U.S. stocks and bonds
– Non-U.S. equities
– Non-dollar bonds
– Allocation to cash
• Matches a typical U.S. pension fund allocation policy
• Close to the theoretical “market portfolio of risky assets”
referred to in the CAPM literature
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Bandi, 2010 Chpt 5 FE UNS
Comparison of Indexes Over Time
• Correlations among monthly equity price changes
– Most differences are attributable to sample differences
– Different segments of U.S. stock market or from
different countries
– Lower correlations between NYSE series and AMEX
series or NASDAQ index than between NYSE
alternative series (S&P 500 and NYSE composite)
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Bandi, 2010 Chpt 5 FE UNS
Comparison of Indexes Over Time
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Bandi, 2010 Chpt 5 FE UNS
Mean Annual Security Risk-
Returns and Correlations
• There are clear differences among the series due to
different asset classes (e.g., stocks versus bonds) and when
there are different samples within asset classes
• There is a positive relationship between the average rate of
return on an asset and its measure of risk
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Bandi, 2010 Chpt 5 FE UNS
Mean Annual Security Risk-
Returns and Correlations
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Bandi, 2010 Chpt 5 FE UNS
The Internet
Investments Online
www.bloomberg.com
www.stockmaster.com
www.asx.com.au
www.bolsamadrid.es
www.tse.com
www.nikko.co.jp:80/SEC/index_e.html
www.exchange.de/realtime/dax_d.html
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Bandi, 2010 Chpt 5 FE UNS
Future topics
Chapter 6
• Sources of Information on Global Investments
– Aggregate Economic Analysis
– Aggregate Security-Market Analysis
– Industry Analysis
– Individual Stock and Bond Analysis
– Mutual Funds
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Bandi, 2010 Chpt 5 FE UNS
INDEKS DI BEI
• suatu indikator yang menunjukkan
pergerakan harga saham.
• berfungsi sebagai indikator trend pasar,
artinya pergerakan indeks menggambarkan
kondisi pasar pada suatu saat, apakah pasar
sedang aktif atau lesu.
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Bandi,
Bandi,2009
2010 Chpt
Chpt55 MM
FE UNS
UNS
INDEKS DI BEI
• Manfaat: kita dapat mengetahui trend
pergerakan harga saham saat ini;
– apakah sedang naik, stabil atau turun.
– Contoh: jika di awal bulan nilai indeks 300 dan
saat ini di akhir bulan menjadi 360, maka kita
dapat mengatakan bahwa secara rata-rata harga
saham mengalami peningkatan sebesar 20%.
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Bandi,
Bandi,2009
2010 Chpt
Chpt55 MM
FE UNS
UNS
INDEKS DI BEI
• Pergerakan indeks menjadi indikator penting
bagi para investor
– menentukan apakah mereka akan menjual,
menahan atau membeli suatu atau beberapa
saham.
– Karena harga-harga saham bergerak dalam
hitungan detik dan menit, maka nilai indeks pun
bergerak turun naik dalam hitungan waktu yang
cepat pula.
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Bandi,
Bandi,2009
2010 Chpt
Chpt55 MM
FE UNS
UNS
INDEKS DI BEI
Di Bursa Efek Indonesia setidaknya terdapat 6 (enam):
1. Indeks Individual,
2. Indeks Harga Saham Sektoral
3. Indeks Harga Saham Gabungan atau IHSG (Composite
Stock Price Index),
4. Indeks LQ 45
5. Indeks Syariah atau JII (Jakarta Islamic Index).
6. Indeks Papan Utama dan Papan Pengembangan.
7. Indeks KOMPAS 100.
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Bandi,
Bandi,2009
2010 Chpt
Chpt55 MM
FE UNS
UNS
INDEKS INDIVIDUAL &
SEKTORAL
• Indeks Individual, menggunakan indeks harga masing-
masing saham terhadap harga dasarnya, atau indeks
masing-masing saham yang tercatat di BEI.
• Indeks Harga Saham Sektoral, menggunakan semua saham
yang termasuk dalam masing-masing sektor, misalnya
sektor keuangan, pertambangan, dan lain-lain. Di BEI
indeks sektoral terbagi atas sembilan sektor yaitu:
pertanian, pertambangan, industri dasar, aneka industri,
konsumsi, properti, infrastruktur, keuangan, perdagangan
dan jasa, dan manufaktur.
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Bandi,
Bandi,2009
2010 Chpt
Chpt55 MM
FE UNS
UNS
INDEKS GABUNGAN & LQ 45
• Indeks Harga Saham Gabungan atau IHSG (Composite
Stock Price Index), menggunakan semua saham yang
tercatat sebagai komponen penghitungan indeks.
• Indeks LQ 45, yaitu indeks yang terdiri 45 saham pilihan
dengan mengacu kepada 2 variabel yaitu likuiditas
perdagangan dan kapitalisasi pasar. Setiap 6 bulan terdapat
saham-saham baru yang masuk kedalam LQ 45 tersebut.
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Bandi,
Bandi,2009
2010 Chpt
Chpt55 MM
FE UNS
UNS
INDEKS ISLAM
• Indeks Syariah atau JII (Jakarta Islamic Index).:indeks yang
terdiri 30 saham mengakomodasi syariat investasi dalam Islam
atau Indeks yang berdasarkan syariah Islam.
• dalam Indeks ini dimasukkan saham-saham yang memenuhi
kriteria investasi dalam syariat Islam, yg tidak:
1. Usaha perjudian dan permainan yang tergolong judi.
2. Usaha lembaga keuangan konvensional (ribawi) termasuk perbankan
dan asuransi konvensional.
3. Usaha makanan dan minuman yang tergolong haram
4. Usaha barang-barang ataupun jasa yang merusak moral dan bersifat
mudarat
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Bandi,
Bandi,2009
2010 Chpt
Chpt55 MM
FE UNS
UNS