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Volatility and stock price indexes

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  • Kenneth W. Clements
  • H. Y. Izan
  • Yihui Lan

Abstract

The stochastic approach to index numbers has been successfully applied to the estimation of inflation, the world interest rate and international competitiveness. One distinct advantage of this approach is that it provides the whole distribution of the index, not simply one value. In this article, we extend the stochastic approach to the estimation of a stock market index. We demonstrate how this approach can be used to identify ‘redundant stocks’ that do not contribute significantly to the overall index. For index tracking purposes, these stocks can be safely excluded.

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File URL: http://hdl.handle.net/10.1080/00036846.2012.703315
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics.

Volume (Year): 45 (2013)
Issue (Month): 22 (August)
Pages: 3255-3262

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Handle: RePEc:taf:applec:v:45:y:2013:i:22:p:3255-3262

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