Are there Psychological Barriers in the Dow-Jones Index?

The popular press attaches particular significance to certain numerical values of the Dow-Jones index. These magic numbers are referred to as `resistance levels' or `psychological barriers.' We examine 38 years of closing values of this index to see if it is of any help in predicting future stock market returns.Dow-Jones index, psychological barriers, resistance levels, market efficiency

Investment strategy due to the minimization of portfolio noise level by observations of coarse-grained entropy

Using a recently developed method of noise level estimation that makes use of properties of the coarse grained-entropy we have analyzed the noise level for the Dow Jones index and a few stocks from the New York Stock Exchange. We have found that the noise level ranges from 40 to 80 percent of the signal variance. The condition of a minimal noise level has been applied to construct optimal portfolios from selected shares. We show that implementation of a corresponding threshold investment strategy leads to positive returns for historical data.Comment: 6 pages, 1 figure, 1 table, Proceedings of the conference APFA4. See http://www.chaosandnoise.or

Pengaruh Kurs Dolar, Indeks Dow Jones Dan Tingkat Suku Bunga SBI Terhadap IHSG (Periode Januari 2005 – Januari 2015)

Abstract        The capital market is one of the investment alternatives for investors. Investors who are willing  to invest in the stock market can invest in the Indonesian Stock Exchange (BEI). One index that is often overlooked by investors when they invest in the Indonesia Stock Exchange is the Composite Stock Price Index (CSPI), because through the movement of the Composite Stock Price Index, the  investors can see whether market conditions are  excited or lethargic. Some things that need to be considered by investors in investing is the exchange rate of the dollar, dow jones index and the interest rate of the certificate of Bank Indonesia. This study aims to test and prove empirically the effect of the dollar exchange rate, the Dow Jones index,  and the interest rate of the certificate of Bank Indonesia upon the composite stock price index during the period January 2005 to January 2015. The sampling technique used in this study is  purposive sampling with the number of the data processed as many as 121. the data analyzed is conducted by means of  multiple linear regression method. The results show that the variables of  Dollar exchange rate , Dow Jones, and the Interest Rate of Bank Indonesia Certificate  simultaneously affect the Composite Stock Price Index (CSPI), whereas in partial the Dollar exchange rate  does not affect the Composite Stock Price Index.  Dow Jones Index  has a positive influence on the Composite Stock Price Index and the rate of interest Bank Indonesia Certificate  negatively affects the Composite Stock Price Index. One of the three variables that has  the greatest influence or dominant on the Composite Stock Price Index is the Dow Jones index. Key words : Composite Stock Price Index (CSPI), Dollar Exchange Rate, Dow Jones Index, The Interest rate of Bank Indonesia Certificate Abstrak         Pasar modal merupakan salah satu alternatif investasi bagi para investor.Investor yang ingin berinvestasi di pasar modal dapat berinvestasi di Bursa Efek Indonesia (BEI). Salah satu indeks yang sering diperhatikan investor ketika berinvestasi di Bursa Efek Indonesia adalah Indeks Harga Saham Gabungan (IHSG), karena melalui pergerakan Indeks Harga Saham Gabungan investor dapat melihat kondisi pasar apakah sedang bergairah atau lesu. Beberapa hal yang perlu diperhatikan oleh investor dalam berinvestasi adalah mengenai kurs dolar, indeks dow jones dan tingkat suku bunga sertifikat Bank Indonesia (SBI). Penelitian ini bertujuan untuk menguji dan membuktikan secara empirik pengaruh kurs dolar,  indeks Dow Jones dan tingkat suku bunga Sertifikat Bank Indonesia terhadap indeks harga saham gabungan selama periode Januari 2005 sampai dengan Januari 2015. Teknik pengambilan sampel dalam penelitian ini menggunakan purposive sampling dengan jumlah data yang diolah sebanyak 121.Data dianalisa dengan menggunakan metode regresi linier berganda. Hasil penelitian menunjukkan bahwa variabel Kurs Dolar, Indeks Dow Jones dan Tingkat Suku Bunga Sertifikat Bank Indonesia (SBI) secara simultan berpengaruh terhadap Indeks Harga Saham Gabungan (IHSG), sedangkan secara parsial variabel Kurs Dolar tidak berpengaruh terhadap Indeks Harga Saham Gabungan, variabel Indeks Dow Jones berpengaruh positif  terhadap Indeks Harga Saham Gabungan dan variabel Tingkat Suku Bunga SBI berpengaruh negatif terhadap Indeks Harga Saham Gabungan. Variabel yang memiliki pengaruh paling besar atau dominan  terhadap Indeks Harga Saham Gabungan  adalah Indeks Dow Jones.  Kata kunci : IHSG, Kurs Dolar, Indeks Dow Jones, Tingkat Suku Bunga SBI

The effect of the exclusion of Russian securities from major indexes following the events in Ukraine

This Thesis is about analyzing the effects of the Russian excluded securities from S&P Dow Jones after the sanctions due to the conflict with Ukraine. For this research, different indexes with distinct stocks were used. Linear regression to analyze the correlation between the stock and the index, two linear regressions with two dummy variables to see the impact on the stock after the exclusion, and a time series to see the fluctuation in the daily prices. Finally, the findings were as expected, there is a correlation in stock prices decreased by the removal of the indexe

The Impact of Volatility on S&P 500 Stock Market Returns: A Closer Look at the Bloomberg Propagation Model

In recent years the stock market has experienced wide swings in market value much more frequently. Taking the Dow Jones Index as an example, it is not uncommon to see daily swings of 200 points or more in the DOW Index. In this study I examine the impact of volatility on stock returns. Using the Bloomberg Propagation Model I determine which stocks by market sector are less sensitive to market volatility. I take the top 5 stocks in each sector and develop a “Volatility Dampening Portfolio” (V). Using two weighting strategies, market value and expected return, I develop a 50 stock portfolio and determine its performance over the period 2010-2016. I test the hypothesis that V outperforms the market in highly volatile market periods.https://ecommons.udayton.edu/stander_posters/1968/thumbnail.jp

Volatility Transmission Between Dow Jones Stock Index And Emerging Islamic Stock Index: Case Of Subprime Financial Crises

In the course of the recent global crisis, the stock shocks are distributed and transmitted from their homes in the developed stock market to emerging stock markets. By supporting the development of emerging stock markets, this study aims to see the transmission of volatility between the Dow Jones stock index and the Dow Jones emerging Islamic stock indiex. In this study we have divided the period into three, periods, before, during and after this crisis to demonstrate the resilience of the Islamic market index in response to the global financial crisis. Another aim of this study is to provide a new guide line for investors in emerging stock market before making investment decisions. The data are daily, going from 02/01/2005 until 31/12/2012. To measure the transmission we used bivariate BEKK-GARCH and DCC-GARCH model. The result shows that there is a transmission mainly during the crisis period which means that the crisis affects all the financial assets whether Islamic or not. The same result also shows the preference to invest in both Islamic and classical stock indexes since they are less risky

Analisis pergerakan bursa internasional dan pengaruhnya terhadap pergerakan bei

The crisis began when one of France's largest banks BNP Paribas announced the freezing of several securities related to high-risk housing the United States. This freeze then began to trigger financial turmoil and eventually spread throughout the world including to Indonesia is no exception to the capital market industry.The purpose of this study is to see the movement of several global stock index that are directly or indirectly related to the Jakarta Composite Index in the Indonesian stock exchanges.The three international stock indexes used in this study are Strait Times Index, Nikkei 225 index and Dow Jones Industrian Average Index. This stock index is considered quite representative of the world stock price index and data taken daily from January 2016 until December 2017, this research used multiple linear regression analysis. The results of this study indicate that the Dow Jones Industrial Average Index, Nikkei 225 Index and Strait Times Index significantly influence the JCI. Dow Jones Industrial Average Index and Strait Times Index have a positive effect on JCI movement while Nikkei 225 Index has a negative effect on JCI movement. Further research can add index variables from several countries such as Hang Seng Index, Kospi Index and macroeconomic indicator variables such as crude oil prices. Key words: Jakarta Composite Index, Dow Jones Industrial Average Index, Strait Times Index, and Nikkei 225 inde

The Geography of Retail Inventory

How different are retailers' inventory levels around the world? Specifically, are retailers' inventories constant across countries, converging, or at least co-integrating? These might be viewed as various forms of global determinism. To see which of these forms hold, I use a novel dataset integrated from Dow Jones, Edgar, Bureau van Dijk (Europe), World'Vest Base, Multex, KIS (Korea Information Service), Teikoku of Japan, Huaxia of China, and COMPUSTAT. The dataset consists of 27,000 firm-year observations for 4,100 retailers in 23 countries, for the period 1983 through 2004. I find evidence to reject all the three forms of global determinism. Instead, I report evidence consistent with an alternative hypothesis - local contingency - in which country effects can explain inventory differences around the world. I also show that this conclusion is robust in numerous ways.Inventory; retailing; international comparison; global determinism; local contingency

Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model

The expOU stochastic volatility model is capable of reproducing fairly well most important statistical properties of financial markets daily data. Among them, the presence of multiple time scales in the volatility autocorrelation is perhaps the most relevant which makes appear fat tails in the return distributions. This paper wants to go further on with the expOU model we have studied in Ref. 1 by exploring an aspect of practical interest. Having as a benchmark the parameters estimated from the Dow Jones daily data, we want to compute the price for the European option. This is actually done by Monte Carlo, running a large number of simulations. Our main interest is to "see" the effects of a long-range market memory from our expOU model in its subsequent European call option. We pay attention to the effects of the existence of a broad range of time scales in the volatility. We find that a richer set of time scales brings to a higher price of the option. This appears in clear contrast to the presence of memory in the price itself which makes the price of the option cheaper.Comment: 9 pages, 4 figures, APFA5 Torin