31日のDJIA、S&P500、NASDAQ、半導体株指数(半導体株指数)それぞれの前営業日比(%)は0.27、0.29、0.3、0.28。31日時点のDJIA、S&P500、NASDAQ、半導体株指数それぞれの年初比(%)は22、29、35、59。31日のDJIAは上昇が26銘柄、下落は4銘柄(変動幅は-0.47% ~ 0.93%)。31日の半導体株指数は上昇が15銘柄、下落は15銘柄(変動幅は-1.14% ~ 1.28%)。

米国主要株価指数 DJIA構成銘柄の前営業日比(%) フィラデルフィア半導体株指数(SOX)構成銘柄の前営業日比(%) S&P500とフィラデルフィア半導体株指数(SOX)の相関

米国主要株価指数

Souece:Yahoo Finance
Adjusted close price
31日のDJIA、S&P500、NASDAQ、SOX(半導体株指数)それぞれの前営業日比(%)は0.27、0.29、0.3、0.28。
31日時点のDJIA、S&P500、NASDAQ、SOXそれぞれの年初比(%)は22、29、35、59。

前営業日比(%)
Date	12-31	12-30	12-27	12-26	12-24	12-23
DJIA:Ratio(lag=1)	0.268	-0.639	0.0834	0.372	-0.126	0.339
S&P500:Ratio(lag=1)	0.295	-0.578	0.0034	0.513	-0.0195	0.0866
NASDAQ:Ratio(lag=1)	0.297	-0.673	-0.175	0.776	0.0808	0.232
SOX:Ratio(lag=1)	0.284	-0.764	-0.316	0.123	0.274	0.175

年初比(%)
Date	12-31	12-30	12-27	12-26	12-24	12-23
DJIA	22.2	21.9	22.7	22.6	22.1	22.3
S&P500	28.7	28.3	29.1	29.1	28.4	28.4
NASDAQ	34.6	34.2	35.1	35.4	34.3	34.2
SOX	58.7	58.3	59.5	60	59.8	59.4

指数値
Date	12-31	12-30	12-27	12-26	12-24	12-23
DJIA	28,538.44	28,462.14	28,645.26	28,621.39	28,515.45	28,551.53
S&P500	3,230.78	3,221.29	3,240.02	3,239.91	3,223.38	3,224.01
NASDAQ	8,972.604	8,945.99	9,006.62	9,022.39	8,952.88	8,945.65
SOX	1,849.625	1,844.39	1,858.59	1,864.49	1,862.2	1,857.12

年初来最高値
Date	12-31	12-30	12-27	12-26	12-24	12-23
DJIA	28,645.26	28,645.26	28,645.26	28,621.39	28,551.53	28,551.53
S&P500	3,240.02	3,240.02	3,240.02	3,239.91	3,224.01	3,224.01
NASDAQ	9,022.39	9,022.39	9,022.39	9,022.39	8,952.88	8,945.65
SOX	1,864.49	1,864.49	1,864.49	1,864.49	1,862.2	1,857.12

年初来最安値
Date	12-31	12-30	12-27	12-26	12-24	12-23
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
31日のDJIAは上昇が26銘柄、下落は4銘柄(変動幅は-0.47% ~ 0.93%)。

DJIA構成銘柄の前営業日比(%)
N	Date	2019-12-31	2019-12-30
1	3M Company(MMM)	0.336	-0.807
2	American Express Company(AXP)	0.153	-0.711
3	Apple Inc.(AAPL)	0.731	0.594
4	Caterpillar Inc.(CAT)	0.108	-0.513
5	Chevron Corporation(CVX)	0.551	-0.374
6	Cisco Systems, Inc.(CSCO)	0.777	-0.377
7	Dow Inc.(DOW)	0.718	-0.894
8	Exxon Mobil Corporation(XOM)	0.432	-0.587
9	Intel Corporation(INTC)	0.386	-0.766
10	International Business Machines Corporation(IBM)	0.926	-1.82
11	Johnson & Johnson(JNJ)	0.392	-0.309
12	JPMorgan Chase & Co.(JPM)	0.555	-0.367
13	McDonald’s Corporation(MCD)	0.355	-0.636
14	Merck & Co., Inc.(MRK)	-0.0879	-0.514
15	Microsoft Corporation(MSFT)	0.0698	-0.862
16	NIKE, Inc.(NKE)	0.506	-0.758
17	Pfizer Inc.(PFE)	0.694	-1.04
18	The Boeing Company(BA)	-0.196	-1.13
19	The Coca-Cola Company(KO)	0.145	-0.145
20	The Goldman Sachs Group, Inc.(GS)	0.0566	-0.373
21	The Home Depot, Inc.(HD)	0.492	-1.21
22	The Procter & Gamble Company(PG)	0.345	-1.28
23	The Travelers Companies, Inc.(TRV)	0.337	-0.227
24	The Walt Disney Company(DIS)	0.598	-1.36
25	United Technologies Corporation(UTX)	-0.0801	-0.266
26	UnitedHealth Group Incorporated(UNH)	0.0442	-0.716
27	Verizon Communications Inc.(VZ)	0.31	-0.52
28	Visa Inc.(V)	0.0373	-0.824
29	Walgreens Boots Alliance, Inc.(WBA)	0.0849	-0.186
30	Walmart Inc.(WMT)	-0.469	-0.159

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
31日のSOXは上昇が15銘柄、下落は15銘柄(変動幅は-1.14% ~ 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	2019-12-31	2019-12-30
1	Advanced Micro Devices, Inc.(AMD)	0.747	-1.43
2	Analog Devices, Inc.(ADI)	-0.0168	-0.494
3	Applied Materials, Inc.(AMAT)	0.181	-0.392
4	ASML Holding N.V.(ASML)	0.356	-0.6
5	Broadcom Inc.(AVGO)	0.817	-0.97
6	Cabot Microelectronics Corporation(CCMP)	0.677	0.851
7	Cirrus Logic, Inc.(CRUS)	-1.14	0
8	Cree, Inc.(CREE)	-0.667	-0.959
9	Entegris, Inc.(ENTG)	-0.358	-0.652
10	Intel Corporation(INTC)	0.386	-0.766
11	KLA Corporation(KLAC)	-0.112	-0.084
12	Lam Research Corporation(LRCX)	-0.0479	-0.395
13	Marvell Technology Group Ltd.(MRVL)	0.568	-1.05
14	Maxim Integrated Products, Inc.(MXIM)	-0.195	0.146
15	Microchip Technology Incorporated(MCHP)	-0.257	-0.465
16	Micron Technology, Inc.(MU)	1.07	-1.52
17	MKS Instruments, Inc.(MKSI)	-0.758	0.371
18	Monolithic Power Systems, Inc.(MPWR)	-0.207	0.213
19	NVIDIA Corporation(NVDA)	1.28	-1.92
20	NXP Semiconductors N.V.(NXPI)	-0.227	-0.499
21	ON Semiconductor Corporation(ON)	0.371	-0.817
22	Qorvo, Inc.(QRVO)	0.0172	-0.539
23	QUALCOMM Incorporated(QCOM)	-0.226	-0.417
24	Semtech Corporation(SMTC)	0.685	0.845
25	Silicon Laboratories Inc.(SLAB)	-0.121	-0.343
26	Skyworks Solutions, Inc.(SWKS)	-0.124	-1.03
27	Taiwan Semiconductor Manufacturing Company Limited(TSM)	0.432	-1.04
28	Teradyne, Inc.(TER)	-0.829	-0.55
29	Texas Instruments Incorporated(TXN)	0.493	-0.708
30	Xilinx, Inc.(XLNX)	0.0921	-0.752

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] "2019-08-22~2019-12-31"
$`S&P500`

    Augmented Dickey-Fuller Test

data:  timeseries
Dickey-Fuller = -1.9123, Lag order = 4, p-value = 0.6123
alternative hypothesis: stationary


$SOX

    Augmented Dickey-Fuller Test

data:  timeseries
Dickey-Fuller = -2.3638, Lag order = 4, p-value = 0.4264
alternative hypothesis: stationary


$SP500_change

    Augmented Dickey-Fuller Test

data:  timeseries
Dickey-Fuller = -4.1152, Lag order = 4, p-value = 0.01
alternative hypothesis: stationary


$SOX_change

    Augmented Dickey-Fuller Test

data:  timeseries
Dickey-Fuller = -4.1581, 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 
-199.239  -77.554    7.754   80.885  199.304 

Coefficients:
        Estimate Std. Error t value            Pr(>|t|)    
z[, -1] 1.837944   0.006626   277.4 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 104.7 on 90 degrees of freedom
Multiple R-squared:  0.9988,    Adjusted R-squared:  0.9988 
F-statistic: 7.695e+04 on 1 and 90 DF,  p-value: < 0.00000000000000022


Value of test-statistic is: 0.5637 

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) = 32070.93, p = 0.00
Pseudo-R2 (Cragg-Uhler) = 0.73
Pseudo-R2 (McFadden) = 0.15
AIC = 700.21, BIC = 707.71 

Standard errors: MLE
---------------------------------------------------------
                     Est.    2.5%   97.5%   t val.      p
------------------ ------ ------- ------- -------- ------
(Intercept)          0.41   -2.02    2.84     0.33   0.74
SP500_change         0.98    0.85    1.10    15.47   0.00
---------------------------------------------------------

Estimated dispersion parameter = 134.03

米国主要株価指数(DJIA、S&P500、NASDAQ、フィラデルフィア半導体指数(SOX))
- 時系列推移、移動平均線、指数構成銘柄の前営業日比、S&P500とフィラデルフィア半導体株指数(SOX)の相関 -

Updated time:2020-01-01 10:35:46

米国主要株価指数(DJIA、S&P500、NASDAQ、フィラデルフィア半導体指数(SOX))- 時系列推移、移動平均線、指数構成銘柄の前営業日比、S&P500とフィラデルフィア半導体株指数(SOX)の相関 -

Updated time:2020-01-01 10:35:46

米国主要株価指数(DJIA、S&P500、NASDAQ、フィラデルフィア半導体指数(SOX))
- 時系列推移、移動平均線、指数構成銘柄の前営業日比、S&P500とフィラデルフィア半導体株指数(SOX)の相関 -