KR20150111741A - System and method for calculating stock index - Google Patents

Abstract

The present invention relates to a method and a system for calculating a stock price index. The method comprises the following steps, in determining constituent items: (a) receiving data; (b) selecting 100 items in order of high market caps of items listed on the market; and (c) selecting items, an average trading value of which in recent three months is 3 billion KRW or more, and which correspond to the first and second of high market caps for each classified industry, and calculating a stock price index in the same weighting manner, thereby utilizing the stock price index for investment of financial products such as ETF and index fund on the basis of a sharp index and high return as compared with the market, and using the stock price index as hedge means by keeping KOSPI 200 futures short or KODEX 200 inverse long when the market falls.

Description

SYSTEM AND METHOD FOR CALCULATING STOCK INDEX

The present invention relates to a method and system for calculating a stock price index, and more particularly, to a stock index method and system for calculating a stock index by calculating a stock index by a predetermined method.

The stock index is an index that is created to understand the movements of the stock market as a whole and is an index showing the overall economic situation in Korea.

The KOSPI started to announce the revised stock price index, which indexed the Dow Jones stock price average as of March 14, 1964, on the stock exchange. However, with the continued development of the securities market and the emergence of new and diverse theories of securities analysis, the Dow Jones STX Index continues to be exposed to the problem, And the market capitalization stock price index.

The market capitalization stock price index is a method of judging the current stock price level against the market capitalization at a certain point and the current market capitalization. In other words, it is a system that shows the total market value of listed stocks as of January 4, 1980 as 100 and shows the current market value of listed stocks.

The KOSPI 200 is the index of the market cap of 200 stocks representing Korea. It shows how their market cap has changed as of January 3, 1990, which was introduced by the stock exchange in June 1994.

The 200 categories are selected based on market representativeness, liquidity, and industry representativeness. All categories are categorized into nine business groups such as fisheries, mining, manufacturing, electric gas, construction, distribution, telecommunications, financial services, First, the stocks with high total and volume of trading volume are selected.

The stock price index is based on the development of financial products, index funds, ETFs, ELS, OTC options, swaps, warrants, other derivatives, insurance products and so on. .

A problem to be solved by the present invention is to provide a stock price index calculation method and system that show excellent results in profitability and the like by distributing the industry with the same weight in constituting the stocks and selecting only good stocks.

In order to solve the above problems, a stock price index calculation method according to the present invention includes a step of determining a constituent item and a step of calculating a stock index, and the step of determining the constituent item includes (a) Receiving the market value of the item, the transaction price data, and the data classified by the business category of the listed item; (b) selecting 100 stocks in descending order of market capitalization among the listed stocks; And (c) selecting an item having an average trading price of at least 3 billion won in the last three months among the selected stocks, ) If the number x of items selected in the step (C) is less than 50, the method may further include the step of selecting an item by an insufficient number (50 - x).

According to another aspect of the present invention, there is provided a system for calculating a stock price index according to the present invention, comprising: a database storing market values, traded price data, And a central processing unit for receiving the data from the database and determining a constituent item and calculating a stock price index, the central processing unit comprising: a first selector for selecting 100 stocks in descending order of market capitalization among listed stocks; And a second selecting unit for selecting an item having an average trading price of at least 3 billion won in the last three months among the selected items and having an upper rank and a second rank higher than the market capitalization for each classified category. The third selection unit may further include a third selection unit for additionally selecting an item as the shortage number (50 - x) when the item (x) selected by the second selection unit is less than 50.

According to the present invention, it is possible to calculate the stock price index based on the same weighting method by dividing the sector by the same weight in the structure of the stocks, selecting only the best stocks, and calculating the stock price index It can be used for investment purposes, and it can also be used as a hedging instrument by lengthening the KOSPI200 futures short or Codex 200 inverse when the market falls.

FIG. 1 is a flowchart of an embodiment for explaining a method for determining a constituent item in a stock price index calculation according to the present invention.
2 is a block diagram of an embodiment for explaining a stock index calculation system according to the present invention.
3 is a graph showing time series comparisons of Fn-Korea 50 and KOSPI and KOSPI 200 indexes according to an embodiment of the present invention.
FIG. 4 is a graph showing a comparison of annual returns of the Fn-Korea 50 and the KOSPI index according to the embodiment of the present invention.
FIG. 5 is a graph comparing the excess returns of the Fn-Korea 50 with respect to the KOSPI according to the embodiment of the present invention.

In the following description of the present invention, detailed description of known functions and configurations incorporated herein will be omitted when it may make the subject matter of the present invention rather unclear. The terms used in this specification are used to appropriately express the preferred embodiment of the present invention, and this may vary depending on the user, the intention of the operator, or the practice of the field to which the present invention belongs. Therefore, the definitions of these terms should be based on the contents throughout this specification. Like reference symbols in the drawings denote like elements.

Hereinafter, a method for calculating a stock price index according to the present invention will be described in detail with reference to the accompanying drawings.

In general, in calculating the stock price index, stock indexes are calculated according to a certain calculation method for the selected stocks after selecting the stocks constituting the stock index first.

Fig. 1 is a flowchart of an embodiment for explaining a method for determining a constituent item in a stock price index calculation according to the present invention.

Referring to FIG. 1, data on all stocks listed on the Korea Exchange and the KOSDAQ market and data on each stock sorted by sector are input for calculating the stock price index (S100). Here, The data can be the current price of the listed stocks, the number of listed stocks, the total market capitalization, the trading volume, and the transaction price. In addition, the data classified into the categories of each item can be classified into data classified using the FICS Industry Classification Standard (FICS) industry classification.

The FICS industry classification is a classification of all listed companies in Korea according to the characteristics of the business. It consists of 10 sections, 25 industry groups and 62 industries. 1.

When the above-mentioned data is input, the listed stocks are listed in descending order of the market capitalization, and the first 100 stocks are selected (S110). At this time, only the common stocks are selected for the common stocks, excluding the vessels and real estate investment companies, ETFs, REITs, SPACs, management investment incentives, and IPOs.

Next, among the 100 selected stocks, the stocks corresponding to the top 1 and 2 in the average annual market price of the industry group, which is the middle classification system of the FICS industry class, having an average trading price of more than 3 billion won per day in the last three months S120).

The number of items (x) selected in step S120 does not exceed 50, which is twice the number of the Industry Group, which is the FICS middle classification system. In this case, the number of constituent items can be added in the insufficient number (S130).

Analyst estimates of sales growth can be used as a method of adding constituents. Specifically, after inputting the data on the sales growth rate for each of the 25 industrial groups, which is the FICS intermediate classification system, an industrial group having a positive sales growth rate for the last three months is extracted (S140).

If the number n of industry groups having a positive sales growth rate is greater than the number 50 of components to be added (S150), the extracted industry group is ranked in order of increasing sales growth rate (S160), and sequentially adding x items in the top 3 of the market value of the industry group to the constituent items (S160).

On the other hand, if the number n of industry groups having a positive sales growth rate is smaller than the number of constituent stocks to be added 50-x (S150) (50-x), which is ranked fourth in the market value of the industry group, in order of the sales growth rate, -n) are included in the constituent item (S180).

Thereby, the target 50 constituent items can be selected (S200). Although the number of constituent items is limited to 50 in the above description, the number of constituent items is not limited to 50, and may be different depending on the number of industrial groups and the like.

Hereinafter, a method of calculating an exponent from a selected constituent item will be described.

The constituent items may be changed regularly twice a year in June and December, and the index inclusion factor (IIF) of the items to ensure that the proportion of the same items in the index is the same. Respectively. The index inclusion ratio can be calculated as shown in Equation (1).

는 유동주식비율,

는 개별종목의 정기변경일 전일 종기 기준의 시가총액,

은 구성종목의 수를 나타낸다. here

Is the floating share ratio,

Is the market cap of the last day before the regular change date of the individual stock,

Represents the number of constituent items.

On the other hand, the calculation of the stock price index is calculated by the same weighting method as shown in Equation (2) below. That is, the exponent is calculated by multiplying the ratio of the exponent of the stock at the time of each periodic change by the ratio, and adjusted by the total market capitalization. At this time, the stock price index at the base point is set to 1000.

는 t일의 지수,

는 t일의 비교 시가총액,

는 t일의 기준 시가총액을 나타내며

는 보통주 상장 주식수,

는 t시점의 종가를 나타낸다.here,

Is the index of t days,

Is the total market value of the comparison of t days,

Represents the baseline market cap for day t

The number of common shares outstanding,

Represents the closing price at time t.

Meanwhile, the method inventions of the present invention described above can be implemented as computer readable codes / commands / programs. For example, it can be implemented in a general-purpose digital computer that operates the code / commands / program using a recording medium readable by a computer. The computer-readable recording medium includes a storage medium such as a magnetic storage medium (e.g., ROM, floppy disk, hard disk, magnetic tape, etc.), optical reading medium (e.g., CD ROM, do.

Hereinafter, a stock index calculation system according to the present invention will be described in detail with reference to the accompanying drawings.

FIG. 2 is a block diagram of an embodiment of a stock index calculation system according to the present invention. The stock index calculation system includes a database 200 and a central processing unit 300, and the central processing unit 300 A first selector 310, a second selector 320, a third selector 330, and a calculator 350.

The database 200 is a database (200) for storing data on all stocks listed on the KOSDAQ market and the KOSDAQ market, namely, the current price of the listed stocks, the number of listed stocks, the total listed market price, the trading volume, 210), a second database 220 for storing data classified according to the FICS industry classification system, and a third database 230 for storing the growth rate of each type of business as data on analysts' estimates.

 The central processing unit 300 receives data from the database 200, determines constituent items, and calculates a stock price index.

When the first selector 310 receives data from the first database 210 and selects 100 stocks in descending order of the market value of the listed stocks, the second selector 320 receives the data from the second database 220 And selects the stocks corresponding to the first and second highest ranking among the selected stocks according to the classified business types.

Meanwhile, the stocks selected by the first selection unit 310 are only for common stocks, and exclude vessels and real estate investment companies, ETFs, REITs, SPACs, management investment incentives, and IPOs. Accordingly, the items selected by the second selection unit are typically 40 to 50 items.

The third selecting unit 330 may further select an item as the insufficient number (50-x) when the number (x) of items selected by the second selecting unit 320 is less than 50. Specifically, the number (n) of industries in which data is input from the third database and the sales growth rate of the last three months has a positive value is calculated.

In this case, if n> (50 - x), the stocks having the highest sales increase rate are selected in the order of the top three in the market value by industry. On the other hand, if n <(50 - x), the stocks with the highest sales growth rate are selected as the top three stocks in the industry with the positive sales growth rate, Select the item to be selected.

The calculation unit 350 calculates the stock price index using the stocks selected from the first to third selection units as constituent items.

As a concrete calculation method, as shown in Equations (1) and (2), an exponential inclusion ratio of each item is calculated so that the inclusion proportion of each item in the index becomes equal at the time when the constituent item is firstly selected or changed, The stock price index is calculated by multiplying the stock index of each stock by the constituent stocks and adjusting the market capitalization adjusted.

Hereinafter, the performance analysis of the index according to the embodiment of the inventive stock index calculation method (hereinafter referred to as Fn-Korea 50), and the comparison of the stocks and the weighted portions, demonstrates that the present invention has a better effect than the KOSPI and KOSPI200.

Fn-Korea 50 Performance Analysis

3 is a graph showing time series comparisons of Fn-Korea 50 and KOSPI and KOSPI 200 indexes according to an embodiment of the present invention. In FIG. 3, it is shown that on January 3, 2005, starting point 893.71 is unified to December 30, 2013 Simulation is done. Table 2 is a table of risk / liter statistics, market-to-market alpha-significance, and return-on-investment through the simulation.

Figure 3 and Table 2 show that Fn-Korea50 is higher than KOSPI and KOSPI200 in both 1-month / 3-month / 6-month / 12-month / 3-year / Can be seen. In addition, the volatility using the monthly return for the whole period was slightly lower than 19.98% for Fn-Korea50 and 20.54% for KOSPI, but the sharp ratio is extremely high as 0.502 to 0.341.

FIG. 4 is a graph comparing annual trends of the Fn-Korea 50 and the KOSPI index according to the embodiment of the present invention, and Table 3 is a table of the annual return rates.

4 and Table 3, the Fn-Korea 50 index outperforms the KOSPI in all the years except for 2011, and it shows a higher probability of 88% over the entire period.

FIG. 5 is a graph comparing the excess returns of the Fn-Korea 50 with respect to the KOSPI according to the embodiment of the present invention.

Referring to FIG. 5, when observing the excess return of the Fn-Korea 50 over the KOSPI 200 with the rolling spread of one year period, it can be seen that it has performed remarkably in most sections except for 2012. In 2012, Samsung Electronics outperformed the market. As Fn-Korea50 is equally weighted, SEC's portion in 2012 is much smaller than KOSPI200. However, the effect of the sector allocation of Fn-Korea50 has mitigated the correlation with certain industries by diversifying sector risk, which has been positive for the period except for 2012.

Table 4 shows the results of the sensitivity measurement for Fama-French 3 Factor by regression analysis. Here, alpha is the excess return over the KOSPI, and RMRF is the KOSPI (market) return and the risk free rate (CD91).

The sensitivity of SMB and HML is similar to that of Fn-Korea50 index. However, only SMB is significant at 0.05 level and it has positive correlation with index performance. In other words, the performance of HLM shows that the results of several specific years show significant beta values that are determined by the magnitude of the impact on the entire time series period, and it is statistically confirmed that the SMB factor is a significant style factor of the index .

In addition, it can be inferred that the SML, HML, and other factors that are not explained by the market have influenced the performance of the index, considering that the alpha value analyzed for the whole time series is significant within the significance level of 10% have.

Table 5 shows the results of decomposing the performance by factor.

According to this, the excess performance relative to the KOSPI is attributable to the sector allocation effect (15.48%) and the stock selection effect (54.28%), while the excess performance relative to the KOSPI200 is 19.51% of the project allocation effect and 47.51% of the stock selection effect.

In other words, the Fn-Korea50 index has the same effect on the industry sector, which is superior to the KOSPI and KOSPI200, and has been selected as the best stock market. In particular, Fn-Kore50's stock structure has been effectively selected from the view that stock selection is more effective than sector allocation.

Analysis of stocks and weight

Table 6 shows the stocks of Fn-Korea50 and KOSPI (the top 50 stocks in terms of market capitalization) as of January 2014 divided into large and small categories by FICS classification.

In the case of Fn-Korea50, consumer staples have more shares than KOSPI, and Kospi has more IT and materials than Fn-Korea50. In addition, Fn-Korea50 has a fair share of 2%, while the KOSPI shows an over-weighting of specific industries (capital goods, automobile parts, banks, materials, semiconductors).

In other words, Fn-Korea50 is very advantageous in terms of hedging by preemptively covering various risks that can exert influence on a specific industry cycle or a specific industry, because it has excellent effect of dispersing the industry.

While the invention has been shown and described with reference to certain preferred embodiments thereof, it will be understood by those of ordinary skill in the art that various changes in form and details may be made therein without departing from the spirit and scope of the invention as defined by the appended claims. This is possible. Therefore, the scope of the present invention should not be limited to the described embodiments, but should be determined by the equivalents of the claims, as well as the claims.

200: database 210: first database
220: second database 230: third database
300: central processing unit 310: first selector
320: second selector 330: third selector
340:

Claims (13)

A method for calculating a stock price index including a step of determining a constituent item to represent a stock market situation and a step of calculating a stock price index,
Wherein the step of determining the constituent item comprises:
(a) receiving the market value, the transaction price data, and the data classified into the traded traded stocks of the stocks listed on the stock market;
(b) selecting 100 stocks in descending order of market capitalization among the listed stocks; And
(c) selecting an item having an average trading price of at least 3 billion won in the last three months among the selected items and having a first highest price and a second highest price among the classified categories;
And calculating a stock price index.
The method according to claim 1,
The method of claim 1, wherein the stocks selected in step (b) are for common stock only, excluding vessels and real estate investment companies, ETFs, REITs, SPACs, management investment incentives, and IPOs.
2. The method of claim 1,
(d) if the number (x) of the items selected in the step (C) is less than 50, further selecting the number of the items as the deficient number.
4. The method of claim 3, wherein step (d)
(d1) receiving data on a sales growth rate for each of the classified business types;
(d2) calculating the number (n) of the industries having the positive three-month sales growth rate;
(d3) n > (50 - x), selecting an item corresponding to the third highest rank in the market value by industry type in the order of the highest sales increase rate; And
(d4) n <(50 - x), the stocks with the highest sales growth rate are ranked in the top 3 of the market value in the industry with the positive sales growth rate, Selecting a corresponding item;
To calculate a stock price index.
The method according to claim 1,
Wherein the constituent stocks are periodically changed, and an exponential inclusion ratio of each stock is calculated so as to equalize the inclusion proportions of the respective stocks in the index.
6. The method of claim 5,
Wherein the stock price index is calculated by multiplying the stock index of each stock by the constituent stocks, and is calculated as the market capitalization adjusted by the stock index.
A database for storing the market value of the stocks listed on the stock market, the transaction price data, and the data classified into the business categories of the listed stocks,
And a central processing unit for receiving data from the database to determine constituent items and calculating a stock price index,
The central processing unit
A first selection unit that selects 100 stocks in descending order of market capitalization among the listed stocks; And
A second selection unit for selecting an item having an average trading price of at least 3 billion won in the last three months and having an average value of at least 3 billion won in the last three months,
The system comprising: 8. The method of claim 7,
The stock price index calculation system according to claim 1, wherein the stocks selected by the first selection unit are only ordinary stocks, and the ship and real estate investment companies, ETFs, REITs, SPACs, management investment stocks and delisted stocks are excluded.
8. The method of claim 7,
Further comprising a third selection unit for additionally selecting an item as the number of items selected by the second selection unit when the number of items (x) selected is less than fifty.
10. The method of claim 9,
Wherein the database stores data on sales growth rate for each classified business type,
The third selector calculates the number n of industries having a positive 3-month sales growth rate, and if n> (50-x), the third selection unit selects the third highest sales amount (50 - x), the stocks having a positive value of the sales growth rate are selected as the top 3 of the market value, and the market value of the business type And selects the item having the fourth highest rank in the total price.
8. The method of claim 7,
Wherein the central processing unit further comprises a calculation unit for calculating an index-containing ratio of each item for making the proportion of each item in the index equal at the time when the constituent item is changed.
12. The method of claim 11,
Wherein the calculation unit calculates the stock price index by multiplying the stock index ratios of the stocks by the constituent stocks and adjusting the market capitalization amount adjusted.
A computer-readable recording medium on which a program for executing the method according to any one of claims 1 to 6 is recorded.

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