TY - CHAP

T1 - Damped oscillatory behaviors in the ratios of stock market indices

AU - Wu, Ming Chya

N1 - Publisher Copyright:
© 2015, The Author(s).

PY - 2015

Y1 - 2015

N2 - This article reviews a recent finding on the properties of stock market indices (Wu, Europhys Lett 97:48009, 2012). A stock market index is an average of a group of stock prices with equal or unequal weights. Different stock market indices derived from various combinations of stocks are not expected to have fixed relations among them. From analyzing the daily index ratios of Dow Jones Industry Average (DJIA), NASDAQ, and S&P500 from 1971/02/05 to 2011/06/30 using the empirical mode decomposition, we found that the ratios NASDAQ/DJIA and S&P500/DJIA, normalized to 1971/02/05, approached and then retained the values of 2 and 1, respectively. The temporal variations of the ratios consist of global trends and oscillatory components including a damped oscillation in 8-year cycle and damping factors of 7183 days (NASDAQ/DJIA) and 138,471 days (S&P500/DJIA). Anomalies in the ratios, corresponding to significant increases and decreases of indices, are local events appearing only in the time scale less than 8-year cycle. The converge of the dominant damped oscillatory component implies that representative stocks in the pair-markets become more coherent as time evolves.

AB - This article reviews a recent finding on the properties of stock market indices (Wu, Europhys Lett 97:48009, 2012). A stock market index is an average of a group of stock prices with equal or unequal weights. Different stock market indices derived from various combinations of stocks are not expected to have fixed relations among them. From analyzing the daily index ratios of Dow Jones Industry Average (DJIA), NASDAQ, and S&P500 from 1971/02/05 to 2011/06/30 using the empirical mode decomposition, we found that the ratios NASDAQ/DJIA and S&P500/DJIA, normalized to 1971/02/05, approached and then retained the values of 2 and 1, respectively. The temporal variations of the ratios consist of global trends and oscillatory components including a damped oscillation in 8-year cycle and damping factors of 7183 days (NASDAQ/DJIA) and 138,471 days (S&P500/DJIA). Anomalies in the ratios, corresponding to significant increases and decreases of indices, are local events appearing only in the time scale less than 8-year cycle. The converge of the dominant damped oscillatory component implies that representative stocks in the pair-markets become more coherent as time evolves.

KW - Detrended fluctuation analysis

KW - Empirical mode decomposition

KW - Intrinsic mode function

KW - Oscillatory component

KW - Stock market index

UR - http://www.scopus.com/inward/record.url?scp=85060463478&partnerID=8YFLogxK

U2 - 10.1007/978-3-319-20591-5_5

DO - 10.1007/978-3-319-20591-5_5

M3 - 篇章

AN - SCOPUS:85060463478

T3 - Springer Proceedings in Complexity

SP - 51

EP - 62

BT - Springer Proceedings in Complexity

PB - Springer

ER -