Analysis

米国主要株価指数

  • Souece:Yahoo Finance
  • Adjusted close price
  • 13日のDJIA、S&P500、NASDAQ、SOX(半導体株指数)それぞれの前営業日比(%)は0.012、0.0073、0.2、-0.6。
  • 13日時点のDJIA、S&P500、NASDAQ、SOXそれぞれの年初比(%)は21、26、31、54。
前営業日比(%)
Date 12-13 12-12 12-11 12-10 12-09 12-06
DJIA:Ratio(lag=1) 0.0118 0.791 0.106 -0.0999 -0.376 1.22
S&P500:Ratio(lag=1) 0.00726 0.858 0.291 -0.11 -0.316 0.914
NASDAQ:Ratio(lag=1) 0.201 0.731 0.44 -0.0655 -0.401 1
SOX:Ratio(lag=1) -0.599 2.71 2.23 0.345 -0.535 1.56
年初比(%)
Date 12-13 12-12 12-11 12-10 12-09 12-06
DJIA 20.5 20.5 19.6 19.4 19.5 20
S&P500 26.2 26.2 25.2 24.8 24.9 25.3
NASDAQ 31 30.8 29.8 29.3 29.3 29.9
SOX 54.1 55.1 51 47.7 47.2 48
指数値
Date 12-13 12-12 12-11 12-10 12-09 12-06
DJIA 28,135.38 28,132.05 27,911.3 27,881.72 27,909.6 28,015.06
S&P500 3,168.8 3,168.57 3,141.63 3,132.52 3,135.96 3,145.91
NASDAQ 8,734.879 8,717.32 8,654.05 8,616.18 8,621.83 8,656.53
SOX 1,796.039 1,806.87 1,759.2 1,720.9 1,714.98 1,724.21
年初来最高値
Date 12-13 12-12 12-11 12-10 12-09 12-06
DJIA 28,164 28,164 28,164 28,164 28,164 28,164
S&P500 3,168.8 3,168.57 3,153.63 3,153.63 3,153.63 3,153.63
NASDAQ 8,734.879 8,717.32 8,705.18 8,705.18 8,705.18 8,705.18
SOX 1,806.87 1,806.87 1,759.2 1,742.93 1,742.93 1,742.93
年初来最安値
Date 12-13 12-12 12-11 12-10 12-09 12-06
DJIA 22,686.22 22,686.22 22,686.22 22,686.22 22,686.22 22,686.22
S&P500 2,447.89 2,447.89 2,447.89 2,447.89 2,447.89 2,447.89
NASDAQ 6,463.5 6,463.5 6,463.5 6,463.5 6,463.5 6,463.5
SOX 1,096.03 1,096.03 1,096.03 1,096.03 1,096.03 1,096.03

DJIA構成銘柄の前営業日比(%)

  • Souece:Yahoo Finance
  • Adjusted close price
  • 13日のDJIAは上昇が16銘柄、下落は14銘柄(変動幅は-2.15% ~ 1.7%)。
DJIA構成銘柄の前営業日比(%)
N Date 2019-12-13 2019-12-12
1 3M Company(MMM) 0.136 -0.107
2 American Express Company(AXP) 1.7 1.66
3 Apple Inc.(AAPL) 1.36 0.255
4 Caterpillar Inc.(CAT) -0.852 1.93
5 Chevron Corporation(CVX) -0.715 2.22
6 Cisco Systems, Inc.(CSCO) -0.81 3.14
7 Dow Inc.(DOW) -2.15 2.54
8 Exxon Mobil Corporation(XOM) -1.58 2
9 Intel Corporation(INTC) 0.417 0.841
10 International Business Machines Corporation(IBM) -0.82 1.17
11 Johnson & Johnson(JNJ) 0.0283 0.255
12 JPMorgan Chase & Co.(JPM) -0.877 2.86
13 McDonald’s Corporation(MCD) 0.413 0.817
14 Merck & Co., Inc.(MRK) 0.259 0.663
15 Microsoft Corporation(MSFT) 0.842 1.02
16 NIKE, Inc.(NKE) 0.0512 0.556
17 Pfizer Inc.(PFE) -0.545 0.837
18 The Boeing Company(BA) -1.33 -1.06
19 The Coca-Cola Company(KO) 0.517 0.352
20 The Goldman Sachs Group, Inc.(GS) -0.465 2.2
21 The Home Depot, Inc.(HD) 0.962 0.0189
22 The Procter & Gamble Company(PG) 0.722 -0.0722
23 The Travelers Companies, Inc.(TRV) 0.0369 0.728
24 The Walt Disney Company(DIS) -0.34 0.115
25 United Technologies Corporation(UTX) -0.228 1.45
26 UnitedHealth Group Incorporated(UNH) 0.659 1.11
27 Verizon Communications Inc.(VZ) -0.589 0.147
28 Visa Inc.(V) 1.37 0.346
29 Walgreens Boots Alliance, Inc.(WBA) -1.19 0.983
30 Walmart Inc.(WMT) 0.443 0.639

フィラデルフィア半導体株指数構成銘柄の前営業日比(%)

  • Souece:Yahoo Finance
  • Adjusted close price
  • 13日のSOXは上昇が13銘柄、下落は17銘柄(変動幅は-3.78% ~ 0.92%)。
フィラデルフィア半導体指数構成銘柄の前営業日比(%)
N Date 2019-12-13 2019-12-12
1 Advanced Micro Devices, Inc.(AMD) -3.38 7.9
2 Analog Devices, Inc.(ADI) 0.815 1.69
3 Applied Materials, Inc.(AMAT) -0.812 2.24
4 ASML Holding N.V.(ASML) 0.923 1.13
5 Broadcom Inc.(AVGO) -3.78 2.53
6 Cabot Microelectronics Corporation(CCMP) 0.256 3.25
7 Cirrus Logic, Inc.(CRUS) 0.496 0.883
8 Cree, Inc.(CREE) -1.5 1.48
9 Entegris, Inc.(ENTG) 0.462 2.22
10 Intel Corporation(INTC) 0.417 0.841
11 KLA Corporation(KLAC) -0.128 2.6
12 Lam Research Corporation(LRCX) -0.966 3.38
13 Marvell Technology Group Ltd.(MRVL) 0.351 3.43
14 Maxim Integrated Products, Inc.(MXIM) 0.219 2.73
15 Microchip Technology Incorporated(MCHP) -1.04 3.83
16 Micron Technology, Inc.(MU) 0.451 3.47
17 MKS Instruments, Inc.(MKSI) -1.34 1.77
18 Monolithic Power Systems, Inc.(MPWR) 0.489 2.78
19 NVIDIA Corporation(NVDA) -0.0357 3.1
20 NXP Semiconductors N.V.(NXPI) -0.0807 2.13
21 ON Semiconductor Corporation(ON) -0.13 3.3
22 Qorvo, Inc.(QRVO) -1.68 1.33
23 QUALCOMM Incorporated(QCOM) -1.37 2.37
24 Semtech Corporation(SMTC) -1.28 2.55
25 Silicon Laboratories Inc.(SLAB) -0.476 2.41
26 Skyworks Solutions, Inc.(SWKS) 0.332 2.01
27 Taiwan Semiconductor Manufacturing Company Limited(TSM) -0.614 4.85
28 Teradyne, Inc.(TER) 0.422 1.3
29 Texas Instruments Incorporated(TXN) 0.452 1.9
30 Xilinx, Inc.(XLNX) -0.321 2.84

VIX・SKEW

  • Souece:Cboe Global Markets, Inc.
VIX & SKEW
Date 12-13 12-12 12-11 12-10 12-09 12-06
VIX 12.63 13.94 14.99 15.68 15.86 13.62
SKEW 144.51 132.68 134.37 135 136.56 131.48

MSCI Index

  • Souece:MSCI Inc.
MSCI
Date 12-13 12-12 12-11 12-10 12-09 12-06
ACWI Index - MSCI 555.376 552.192 548.401 546.736 547.448 548.116
Emerging Markets Index - MSCI 1,086.913 1,070.711 1,058.229 1,049.501 1,051.112 1,048.958

S&P500とフィラデルフィア半導体株指数(SOX)の相関

  • Souece:Yahoo Finance
  • 指数構成銘柄の重複は考慮していません。
[1] "2019-08-07~2019-12-13"
$`S&P500`

    Augmented Dickey-Fuller Test

data:  timeseries
Dickey-Fuller = -2.3069, Lag order = 4, p-value = 0.4498
alternative hypothesis: stationary


$SOX

    Augmented Dickey-Fuller Test

data:  timeseries
Dickey-Fuller = -2.5205, Lag order = 4, p-value = 0.3618
alternative hypothesis: stationary


$SP500_change

    Augmented Dickey-Fuller Test

data:  timeseries
Dickey-Fuller = -5.7866, Lag order = 4, p-value = 0.01
alternative hypothesis: stationary


$SOX_change

    Augmented Dickey-Fuller Test

data:  timeseries
Dickey-Fuller = -4.9485, Lag order = 4, p-value = 0.01
alternative hypothesis: stationary

######################################## 
# Phillips and Ouliaris Unit Root Test # 
######################################## 

Test of type Pu 
detrending of series none 


Call:
lm(formula = z[, 1] ~ z[, -1] - 1)

Residuals:
    Min      1Q  Median      3Q     Max 
-202.18  -67.55   12.02   70.09  186.89 

Coefficients:
        Estimate Std. Error t value            Pr(>|t|)    
z[, -1] 1.865520   0.006401   291.4 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 98.43 on 90 degrees of freedom
Multiple R-squared:  0.9989,    Adjusted R-squared:  0.9989 
F-statistic: 8.494e+04 on 1 and 90 DF,  p-value: < 0.00000000000000022


Value of test-statistic is: 0.8803 

Critical values of Pu are:
                  10pct    5pct    1pct
critical values 20.3933 25.9711 38.3413
MODEL INFO:
Observations: 90
Dependent Variable: SOX_change
Type: Linear regression 

MODEL FIT:
χ2(1) = 38565.11, p = 0.00
Pseudo-R2 (Cragg-Uhler) = 0.74
Pseudo-R2 (McFadden) = 0.15
AIC = 710.56, BIC = 718.05 

Standard errors: MLE
---------------------------------------------------------
                     Est.    2.5%   97.5%   t val.      p
------------------ ------ ------- ------- -------- ------
(Intercept)          1.04   -1.51    3.60     0.80   0.43
SP500_change         0.88    0.77    0.98    16.02   0.00
---------------------------------------------------------

Estimated dispersion parameter = 150.35