کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7355822 | 1477899 | 2017 | 69 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A new weighting-scheme for equity indexes
ترجمه فارسی عنوان
طرح وزن جدید برای شاخص های سهام
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper proposes a novel methodology for computing a cross capitalization-weighted index, coined CCWI, that characterizes the most influential stocks that drive the index. The methodology, based on the factor analysis approach combined with the Equi-correlation model of Engle and Kelly (2012), encapsulates all the main information to replicate any given large equity stock index. We build a proxy that tracks accurately the S&P 500 while reducing the cost of duplication for large equity indexes with the methodology combining the PCA approach and the DECO model. We provide an application to the S&P 500 by constructing an aggregate stock index composed of the most influential stocks. The analysis reveals that the CCWI is useful for asset and risk management. Robustness checks expand the equity index universe to MIB, TSX, CAC, DAX, FTSE, NIKKEI, HSI and DJIA, both during full- and sub-periods.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 54, November 2017, Pages 159-175
Journal: International Review of Financial Analysis - Volume 54, November 2017, Pages 159-175
نویسندگان
Sofiane Aboura, Julien Chevallier,