Damped oscillations in the ratios of stock market indices

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/104459

Title:	Damped oscillations in the ratios of stock market indices
Authors:	吳明佳;Wu, Ming-Chya
Contributors:	理學院物理學系
Keywords:	05.40.Fb;05.45.Tp;89.65.Gh;General Physics and Astronomy
Date:	2012-02-01
Issue Date:	2026-04-23 11:50:39 (UTC+8)
Publisher:	EPS, SIF, EDP Sciences and IOP Publishing
Abstract:	摘要： A stock market index is an average of a group of stock prices with weights. Different stock market indices derived from various combinations of stocks may share similar trends in certain periods, while it is not expected that there are fixed relations among them. Here we report our investigations on the daily index data of Dow Jones Industry Average (DJIA), NASDAQ, and S&P500 from 1971/02/05 to 2011/06/30. By analyzing the index ratios using the empirical mode decomposition, we find that the ratios NASDAQ/DJIA and S&500/DJIA, normalized to 1971/02/05, approached and then retained the values of 2 and 1, respectively. The temporal variations of the ratios consist of global trends and oscillatory components including a damped oscillation in 8-year cycle and damping factors of 7183 days (NASDAQ/DJIA) and 138471 days (S&P500/DJIA). Anomalies in the ratios, corresponding to significant increases and decreases of indices, only appear in the time scale less than an 8-year cycle. Detrended fluctuation analysis and multiscale entropy analysis of the components with cycles less than a half-year manifest a behavior of self-adjustment in the ratios, and the behavior in S&500/DJIA is more significant than in NASDAQ/DJIA. 出版者： EPS, SIF, EDP Sciences and IOP Publishing 出版日期： 2012-02 出處： EPL (Europhysics Letters), 2012-02, Vol.97 (4), p.48009- 資源來源： Institute of Physics Journals 識別號： ISSN: 0295-5075 識別號： EISSN: 1286-4854 識別號： DOI: 10.1209/0295-5075/97/48009
Appears in Collections:	[Department of Physics] journal & Dissertation

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