Advanced Search
MyIDEAS: Login to save this paper or follow this series

Volatility and Stock Price Indexes

Contents:

Author Info

  • Kenneth W Clements

    (UWA Business School, The University of Western Australia)

  • H Y Izan

    (UWA Business School, The University of Western Australia)

  • Yihui Lan

    (UWA Business School, The University of Western Australia)

Abstract

The stochastic approach to index numbers has been successfully applied to the estimation of the Consumer Price Index (CPI). One distinct advantage of this approach is that it provides the whole distribution of the index, not simply a point estimate of the rate of inflation. In this paper, we extend the application of 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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.business.uwa.edu.au/__data/assets/pdf_file/0004/1857973/11-16-Volatility-and-Stock-Prices-Indexes.pdf
Download Restriction: no

Bibliographic Info

Paper provided by The University of Western Australia, Department of Economics in its series Economics Discussion / Working Papers with number 11-16.

as in new window
Length: 23 pages
Date of creation: 2011
Date of revision:
Handle: RePEc:uwa:wpaper:11-16

Contact details of provider:
Postal: 35 Stirling Highway, Crawley, W.A. 6009
Phone: (08) 9380 2918
Fax: (08) 9380 1016
Web page: http://www.business.uwa.edu.au/school/disciplines/economics
More information through EDIRC

Related research

Keywords:

Other versions of this item:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:uwa:wpaper:11-16. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shane Standley).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.