Analysis

米国主要株価指数

  • Souece:Yahoo Finance
  • Adjusted close price
  • 22日のDow、S&P500、NASDAQ、SOX(半導体株指数)それぞれの前営業日比(%)は-0.15、-0.36、-0.72、-0.77。
  • 22日時点のDow、S&P500、NASDAQ、SOXそれぞれの年初比(%)は15、19、22、38。
前営業日比(%)
Date 10-22 10-21 10-18 10-17 10-16 10-15
Dow:Ratio(lag=1) -0.147 0.215 -0.946 0.0885 -0.0844 0.886
S&P500:Ratio(lag=1) -0.357 0.687 -0.392 0.276 -0.2 0.996
NASDAQ:Ratio(lag=1) -0.719 0.908 -0.825 0.402 -0.301 1.24
SOX:Ratio(lag=1) -0.768 1.88 -1.06 0.335 -1.47 2.22
年初比(%)
Date 10-22 10-21 10-18 10-17 10-16 10-15
Dow 14.7 14.9 14.7 15.8 15.7 15.8
S&P500 19.4 19.8 19 19.4 19.1 19.3
NASDAQ 21.6 22.5 21.4 22.4 21.9 22.2
SOX 38 39 36.5 37.9 37.5 39.5
指数値
Date 10-22 10-21 10-18 10-17 10-16 10-15
Dow 26,788.1 26,827.64 26,770.2 27,025.88 27,001.98 27,024.8
S&P500 2,995.99 3,006.72 2,986.2 2,997.95 2,989.69 2,995.68
NASDAQ 8,104.295 8,162.99 8,089.54 8,156.85 8,124.18 8,148.71
SOX 1,607.595 1,620.04 1,590.09 1,607.16 1,601.79 1,625.69
年初来最高値
Date 10-22 10-21 10-18 10-17 10-16 10-15
Dow 27,359.16 27,359.16 27,359.16 27,359.16 27,359.16 27,359.16
S&P500 3,025.86 3,025.86 3,025.86 3,025.86 3,025.86 3,025.86
NASDAQ 8,330.21 8,330.21 8,330.21 8,330.21 8,330.21 8,330.21
SOX 1,625.69 1,625.69 1,625.69 1,625.69 1,625.69 1,625.69
年初来最安値
Date 10-22 10-21 10-18 10-17 10-16 10-15
Dow 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

ダウ構成銘柄の前営業日比(%)

  • Souece:Yahoo Finance
  • Adjusted close price
  • 22日のダウは上昇が17銘柄、下落は13銘柄(変動幅は-8.29% ~ 2.6%)。
ダウ構成銘柄の前営業日比(%)
N Date 2019-10-22 2019-10-21
1 3M Company(MMM) 0.964 1.74
2 American Express Company(AXP) -0.37 1.96
3 Apple Inc.(AAPL) -0.229 1.73
4 Caterpillar Inc.(CAT) 1.1 1.16
5 Chevron Corporation(CVX) 1.02 1.63
6 Cisco Systems, Inc.(CSCO) 0.338 1.46
7 Dow Inc.(DOW) -0.637 -1.75
8 Exxon Mobil Corporation(XOM) 0.509 1.67
9 Intel Corporation(INTC) -0.23 1.5
10 International Business Machines Corporation(IBM) 1.04 -1.13
11 Johnson & Johnson(JNJ) 0.922 0.251
12 JPMorgan Chase & Co.(JPM) 1 2.48
13 McDonald’s Corporation(MCD) -5.04 0.647
14 Merck & Co., Inc.(MRK) -3.81 -0.189
15 Microsoft Corporation(MSFT) -1.49 0.742
16 NIKE, Inc.(NKE) -0.644 0.125
17 Pfizer Inc.(PFE) -0.0823 0
18 The Boeing Company(BA) 1.79 -3.76
19 The Coca-Cola Company(KO) -0.701 -1
20 The Goldman Sachs Group, Inc.(GS) 0.167 1.32
21 The Home Depot, Inc.(HD) 0.211 -0.517
22 The Procter & Gamble Company(PG) 2.6 1.37
23 The Travelers Companies, Inc.(TRV) -8.29 0.389
24 The Walt Disney Company(DIS) 1.64 -0.481
25 United Technologies Corporation(UTX) 2.21 1.13
26 UnitedHealth Group Incorporated(UNH) 2.28 -0.579
27 Verizon Communications Inc.(VZ) 0.0329 -0.491
28 Visa Inc.(V) -3.16 0.41
29 Walgreens Boots Alliance, Inc.(WBA) 1.34 -1.28
30 Walmart Inc.(WMT) -0.134 0.504

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
  • 22日のSOXは上昇が6銘柄、下落は24銘柄(変動幅は-2.56% ~ 1.28%)。
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 2019-10-22 2019-10-21
1 Advanced Micro Devices, Inc.(AMD) -1.62 3.42
2 Analog Devices, Inc.(ADI) -0.207 1.49
3 Applied Materials, Inc.(AMAT) -1.25 1.86
4 ASML Holding N.V.(ASML) -1.97 2.36
5 Broadcom Inc.(AVGO) -0.729 0.99
6 Cabot Microelectronics Corporation(CCMP) -0.782 1.49
7 Cirrus Logic, Inc.(CRUS) -2.43 2.61
8 Cree, Inc.(CREE) 0.65 0.541
9 Entegris, Inc.(ENTG) -1.98 0.616
10 Intel Corporation(INTC) -0.23 1.5
11 KLA Corporation(KLAC) -0.72 2.7
12 Lam Research Corporation(LRCX) -1.49 2.04
13 Marvell Technology Group Ltd.(MRVL) 0.333 1.44
14 Maxim Integrated Products, Inc.(MXIM) 0.154 1.33
15 Microchip Technology Incorporated(MCHP) -1.44 2.92
16 Micron Technology, Inc.(MU) -1.24 4.03
17 MKS Instruments, Inc.(MKSI) 0.0209 1.6
18 Monolithic Power Systems, Inc.(MPWR) -0.818 2.32
19 NVIDIA Corporation(NVDA) -0.204 2.9
20 NXP Semiconductors N.V.(NXPI) -2 0.89
21 ON Semiconductor Corporation(ON) -1.08 3.4
22 Qorvo, Inc.(QRVO) -0.533 1.5
23 QUALCOMM Incorporated(QCOM) -0.646 1.67
24 Semtech Corporation(SMTC) -0.497 1.82
25 Silicon Laboratories Inc.(SLAB) -2.56 0.985
26 Skyworks Solutions, Inc.(SWKS) -1.03 2.42
27 Taiwan Semiconductor Manufacturing Company Limited(TSM) 1.28 1.46
28 Teradyne, Inc.(TER) -1.52 1.92
29 Texas Instruments Incorporated(TXN) -1.8 1.14
30 Xilinx, Inc.(XLNX) 0.968 0.763

VIX・SKEW

  • Souece:Cboe Global Markets, Inc.
VIX & SKEW
Date 10-21 10-18 10-17 10-16 10-15 10-14
VIX 14 14.25 13.79 13.68 13.54 14.57
SKEW 128.44 126.24 128.01 125.53 127.17 124.85

MSCI Index

  • Souece:MSCI Inc.
MSCI
Date 10-21 10-18 10-17 10-16 10-15 10-14
ACWI Index - MSCI 528.493 525.253 526.917 525.271 525.249 520.633
USA Index - MSCI 2,861.017 2,841.608 2,853.049 2,844.876 2,851.911 2,823.865
World Index - MSCI 2,209.341 2,195.278 2,201.917 2,195.348 2,196.611 2,175.279
EAFE Index - MSCI 1,930.983 1,920.09 1,922.292 1,916.325 1,910.936 1,891.352
Emerging Markets Index - MSCI 1,028.506 1,024.023 1,028.389 1,024.085 1,019.247 1,017.451
Europe Index - MSCI 1,683.906 1,672.389 1,674.098 1,665.652 1,666.196 1,646.951

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] "2019-06-14~2019-10-22"
$`S&P500`

    Augmented Dickey-Fuller Test

data:  timeseries
Dickey-Fuller = -2.1282, Lag order = 4, p-value = 0.5234
alternative hypothesis: stationary


$SOX

    Augmented Dickey-Fuller Test

data:  timeseries
Dickey-Fuller = -2.8238, Lag order = 4, p-value = 0.2368
alternative hypothesis: stationary


$SP500_change

    Augmented Dickey-Fuller Test

data:  timeseries
Dickey-Fuller = -5.0384, Lag order = 4, p-value = 0.01
alternative hypothesis: stationary


$SOX_change

    Augmented Dickey-Fuller Test

data:  timeseries
Dickey-Fuller = -4.6909, 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 
-163.68  -85.25  -12.44   71.75  270.25 

Coefficients:
        Estimate Std. Error t value            Pr(>|t|)    
z[, -1] 1.943394   0.007239   268.5 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 104.9 on 90 degrees of freedom
Multiple R-squared:  0.9988,    Adjusted R-squared:  0.9987 
F-statistic: 7.207e+04 on 1 and 90 DF,  p-value: < 0.00000000000000022


Value of test-statistic is: 1.2838 

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) = 42443.27, p = 0.00
Pseudo-R2 (Cragg-Uhler) = 0.73
Pseudo-R2 (McFadden) = 0.14
AIC = 726.19, BIC = 733.69 

Standard errors: MLE
---------------------------------------------------------
                     Est.    2.5%   97.5%   t val.      p
------------------ ------ ------- ------- -------- ------
(Intercept)          1.79   -0.98    4.56     1.27   0.21
SP500_change         0.83    0.72    0.93    15.40   0.00
---------------------------------------------------------

Estimated dispersion parameter = 178.88