Associate Professor Hiroshi Okajima, Graduate School of Advanced Sciences, Kumamoto University, announced the results of basic research on the design of stock indexes that are not easily affected by the rise and fall of specific stocks.
Stock indexes such as the Nikkei Stock Average and the Tokyo Stock Price Index are typical indicators of economic trends.When the Bank of Japan conducts public market operations such as fund supply operations *, it will purchase ETFs (Exchange Traded Funds) in the stock market, but the ETFs to be purchased will be the Nikkei average stock price or the Tokyo Stock Price Index. The stock index plays an important role, such as being limited to linked ones, and is known as an effective value for observing trends in the stock market as a whole.
However, until now, this stock index has had the problem that rising or falling prices of specific stocks often have an excessive effect on the index.For example, in the Nikkei Stock Average, which consists of 225 stocks, one stock has a contribution of more than 1% (as of the end of September 6) to the Nikkei Stock Average.The problem that the stock index is determined biased toward the trend of a specific stock can cause market distortion.Therefore, in order to form a fair market, a new stock index that evaluates stocks widely and gives their representative values is desired.
In this study, we proposed a new stock index focusing on the median price increase and decrease rate.The proposed stock index is designed to have a certain correlation with the Nikkei Stock Average and the Tokyo Stock Price Index, but to be less susceptible to the effects of specific stocks in short-term ups and downs.
As a result of verifying the effectiveness of the stock index designed this time by simulation using the data of the past Nikkei Stock Average, it has a certain degree of correlation with the average stock price and is not affected by significant fluctuations of specific stocks. confirmed.Currently, it is in the basic research stage based on computer simulation, and it is planned to consider coefficients and weighting in the stock index in the future.
* The fund supply operation is to supply funds to the market by the Bank of Japan purchasing international and bills from financial institutions.
Paper information: [Journal of the Society of Systems Control and Information Science] Composition of stock index based on median
