Ecomical_analisis

7/22/2019 Ecomical_analisis

1/43

,

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' . 2387/20, 4301/29, .. 3565/56, 4254/62,4264/62 . 100/75, . 2121/93, ,

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copyright "..".


2/43

,

- 2 -

1.1 ,

1.1.1

.

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() .

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().

,

.

()

( ).

,

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,

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.

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1.1.2

, ,

.


3/43

-3-

. ,

,

,

.

.

(Treasury Bills )

. 3, 6 12

. 13, 26 52 , , 4 7

13 .

(zero-coupon bond), , ,

. ,

.

() 10%. ,

.

, .

, .

:

i.

.

ii. ,

.

iii. .iv.

.

(certificates of deposit CDs)

.

,

.

12 ,

.

(

).

().

( )

.

.

(yield to maturity).

, 8%


4/43

,

- 4 -

,

, 8% .

Repos Reverse repos

Repos (Repurchase Agreement)

(), ,

()

, .

,

,

.

(Repos)

. Repos

( )

7%.Reverse repos

. , Reverse repos

.

Repos :

( Repos)

,

.

.

.

()

, .

, - - ,

(, ).

, , .

,

, ,

.

:

(

).


5/43

-5-

( ).

().

(

) , .

,

, .

,

.

commercial papers (CPs), Bills of Exchange, swaps, () .

.

commercial papers ,

, .

(

).

Bills of Exchange .

, (Bankers Acceptance).

.

swaps

. , swap

,

,

.

.

1.1.3

. ,

.

(zero-coupon ).

.

coupons.

,

, (par value, principal, face value) .


6/43

,

- 6 -

,

,

.

.

,

.

, .

, ,

.

(zero-

coupon bonds) .

,

(

).

().

:

(10%).

, , ... .

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. 1995

11,5%.

(.. , , , )

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.

....+0,5%

....+1% , ....

. 3%.

15% 20%.

.

.

...

,

. ...

,

.


7/43

-7-

.

(

).

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.

(zero-coupon)

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, (convertible bonds).

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(callable bonds).

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..

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Moodys Standard & Poors.


8/43

,

- 8 -

.

()

.

,

, . (

) ,

.

,

:

.

.

.

.

10%.

1.1.4

, .

() ()

-- ,

.:

.

..

,

2190/20 : .

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, .

. ...

( ) ,

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9/43

-9-

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. ..

,

.

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5%

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(6% ).

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(

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() .

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10/43

,

- 10 -

.

:

()

().

,

.

(...)

. , ...

.

... .

:

, (: 4 .).

, (: 1.).

(), (

: 200 . .).

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25%

( 2000

2% ).

...

: (

),

. ,

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(K.A.A.)

(...) .

,

(...),

.

,

,

.

, :


11/43

-11-

i. .

.

,

.ii.

.

iii. ()

.

.

,

.

:

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.

. ,

. . ...

.

.

.

.

(split) (reverse split) . ,,

.

...

,

10% ,

.

, ....

, . ,


12/43

,

- 12 -

10 .

,

.

...

.

, .

... (order driven).

,

(

).

.

.

.

.

.

.

...

.

10%

,

(call

auction).

1.1.5

()

1970. (...)

1999

.

.

, .

.

,

.

,

, (, , ) .


13/43

-13-

, .

,

()

(options).

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.

, .

(forward)

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.

()

(

),

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.

(options)

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().

(...)

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.

:

(hedgers) ,

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,

FTSE / ASE 20. ,

.

. ,

,

.

(arbitrageurs)

.

. .


14/43

,

- 14 -

arbitrageurs

.

. (pure

arbitrage)

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... ,

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(screen trading)

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..... ( ).

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-(open outcry),

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.....,

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(arbitrage)

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. ()


15/43

-15-

( ). ,

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,

(matching) . ,

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(central order book).

.

(market makers)

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(bid-ask)

. market maker

bid ask.

(.....)

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(margin banks).

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...... (

), ,

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/

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......

:

.

.

..... .

..... .

.

()

(fixed)

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(underlying asset)

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),

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16/43

,

- 16 -

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(forwards),

(clearing house). ..

,

.

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(closed out)

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( )

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(credit risk) .

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.

(FTSE/ASE-20) (FTSE/MID-40) ,

(stock futures) EUR/USD.

. () 5

FTSE/ASE-20 5 FTSE/MID-40.

. ,

,

: , , .

.

. ,

,

.

10%

.

.

100

.

. 12% -20% ,


17/43

-17-

.

. ,

: , ,

.

.

EUR/USD, ... .

62.500.

...,

...

. 2.769,

2.556.

: , ,

.

.

,

, .

1.000 .

1,000

0

1000

980 990 1,000 1,010 1,020 1,030

:

(bullish)


18/43

,

- 18 -

1,000

0

1,000

980 990 1,000 1,010 1,020 1,030

:

(bearish)

()

(options)

: .

: . -

call option,

( -

exercise price strike price). , - put option,

(- exercise price strike

price). / ()

() ( - expiry

date) () / .

(European style options),

(American style options)1.

,

. ,

( ) ,

. ,

1 (Bermudan),

-.


19/43

-19-

.

, (- premium)

, ...

. ,

.

, (..

ABC 10,5

2002).

( )

(Profit & Loss Diagrams)

.

.

=3100 t=90 ,

3000 . (premium) c=198

p=221.

:/

-300

-200

-100

0

100

200

300

400

500

2650 2850 3050 3250 3450 3650 3850

/


20/43

,

- 20 -

: /

-500

-400

-300

-200

-100

0

100

200

300

2650 2850 3050 3250 3450 3650 3850

/

:/

-300

-200

-100

0

100

200

300

400

500

2650 2850 3050 3250 3450 3650 3850

/

: /

-500

-400

-300

-200

-100

0

100

200

300

2650 2850 3050 3250 3450 3650 3850

/


21/43

-21-

.

:

, , ,

, (risk-free rate), (

).

.

. ,

(non-parametric

effect).

/(

- ceteris paribus).

European

Call

European

Put

American

Call

American

Put

+ - + -

- + - +

? ? + +

+ + + +

+ - + -

- + - +

:

.

.

E (out-of the money), .

(in the money) .

(at the money) .

FTSE/ASE-20 FTSE/MID-40

.

, 5

FTSE/ASE-20 5 FTSE/MID-40.

6 (expirations).

- - - .

FTSE/ASE-20 FTSE/ASE Mid 40,

, ,

:


22/43

,

- 22 -

(at-the-money),

5 ,

5 .

.

(

5 ).

.

100 .

.

9 .

, , , .

, :

(at-the-money),

4 ,

4 .

.

,

5 .

-.

Repos

2001, Repos .

:

pool

pool

,

(

).

:1. Stock Repos ().

.....

.

.....

.....

(Stock Reverse Repo).

.

.....

2. Stock Reverse Repos ()


23/43

-23-

..... .

.....

.....

.....

. .

82

.. ( FTSE/ASE-20, FTSE/MID-40 22

). :

Stock Repos (Stock Lending):

() Stock Repo. 100

()

. ,

,

()

.

(

)

100.

(

)

.

()

.

(Market orders).

.

. Stock Lending ,

()

().

() .

() .

:

)

:

( )**

)

:

(-100/.) ** .

() ()

()

(). 4


24/43

,

- 24 -

.

.

.

.Stock Reverse Repos (Stock Borrowing):

() ()

. pool

.

() Stock

Reverse Repo. 100 1000

() ()

. 6

.

, ( )

(). .

() ().

(Market orders).

.

.

,

()

.

()

.

()

.

.

:

(Fixing ) * * *

(%) / 360.

fixing

.

()

()

()

.

. . 4


25/43

-25-

.

:

(5%

Free-float). 10%

() Pool .

() .

pool.

()

pool .

...

Pool

Stock Reverse Repo Stock Repo.

1.1.6 ,

.

.

.

:

. .

. .

.

. .

.

.

. .

(P/E). .

.

.

. .


26/43

,

- 26 -

,

,

,

. , .

.

,

. ...

:

i. . 60

,

.ii. . 40

.

iii. .

.

65%

.

iv. .

v. .

.

vi. FTSE/ASE-20. 20

. ,

.

vii. FTSE/MID-40. 40

.

viii. Small Cap 80. 80 .

, .

. :

D

WSX

PP

N

i

iii=

= 1

0 ,

P,Pi

, i i

, Si i

, D (

) Wi.


27/43

-27-

.

1.1.7

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.

30

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()

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.

(.....)

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28/43


29/43

-29-

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(, ,

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).

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80,

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30/43

,

- 30 -

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(, ,

) .

48

, 2.245 .

49.000 .

.

21

1950

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75 .

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E, 24 N. 2076/92, :

,

(factoring)

(leasing)

(,

)

:- (, .)


31/43

-31-

-

-

-

-

,

,

,

,

O -. T

:

. (, )

- Retail Banking:

- Corporate Banking:

-

. , .

- ,

- /

- treasury:

1.1.8

.

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,

-- .

,

.

.

,

,

.

(market makers) .


32/43

,

- 32 -

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).

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(bid-ask spread). ,

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/ ( )

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, (leverage)

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(

),

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(.. ).

,

,

--

,

stockrepos ..


33/43

-33-

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2324/95.

1969/91,

2166/93, 2324/95 2396/96. ,

.

,

, ,

, .

(Investment Services Directive

93/22/EC ISD).

.

(),

.


34/43

,

- 34 -

,

-.

,

: ()

16 , -

, () , () ,

. ()

20 21.

,

.

,

,

.

-.

,

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,

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,


35/43

-35-

.

, .

:

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.

.

.

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:

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.

.

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, )

.

48 . 1969/91, .

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12 54 . 2238/1994, . ,


36/43

,

- 36 -

. ..

(3%) , ,

.

, ..

, .

, .

'

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16

. 1969/91, . , ,

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, 12

54 . 2238/94, .

.

(3%) ,

,

.

.

, .

113 116 . 2238/94

.

,

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,

.

1.1.9

.

.

,

.

.

(index fund) . index fund


37/43


38/43

,

- 38 -

,

.

index funds .

, index funds beta

.

. , /

; .

.

,

. ,

.

.

,

-benchmark

/. , , -

.

,

:

market timers,

(security selectors),

(sector selectors). market timers (beta)

.

beta

. .

. ,

.

.

.

sector rotation.

.

,

. ,

, .. ,

, , ...

/ ,

. , , :

, ,

, ; ,


39/43

-39-

, / ,

;

Martin Gruber,

!

:

, .

(diversifiable risk). , ,

index fund.

.

. ,

index fund.

, , index funds

,

.

(superior performance) .

,

,

-.

.

:

. . ,

(NYSE) 70% ,

25% (block).

. ,

.

.

. ,

.

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.

14% .

.

. , , . ,

, .

. .


40/43

,

- 40 -

,

.

. .

, ,

.

. ,

, (OTC over

the counter).

(/)

, / .

, - . , ,

, .

/.

-

.

-.

(CAPM

Capital Asset Pricing Model) (beta)

.

1960. , ,

:

Jack Treynor

/. /(R/)

(

....).

.

/ benchmark

-. //

Rf, Treynor :

RA/K= (RA/K- Rf) / /

.

/,

.

Sharpe.

Sharpe (1966)

, /.

RA/K= (RA/K Rf) / /

/ , Sharpe - .


41/43

-41-

/ Treynor Sharpe

, /

.

Sharpe

,

. Treynor

.

Treynor Sharpe, ,

/ .

RA/K, /.

, ,

.

Jensen.

CAPM, o Jensen (1968)

, , (, ).

- /

,

/. R , Jensen

(regression

model):

(RA/K- Rf) = /+ / (R Rf) + //

. /

.

. A

,

( ). , ,

,

( ).

(), /

.

Jensen ,

, ,

/. , /

.

, /

, 1980 .

.

,

, / ,

. ,

/ /.


42/43

,

- 42 -

.

13 5 10 .

1970, /

2/3. , 1980,

20

/. ,

-, /

. ,

, /,

.

1.1.10

,

, .

management

. ,

,

(feed vendors), .

,

. , ,

.

. ,

front office, back office risk management (

)

. ,

stop loss

, program trading (

) arbitrage.

,

.

,

(internet, CD-ROM)

,

(order routing ).

,

.


43/43

1. Investments W. F. SHARPE, G. J. ALEXANDER, J. V. BAILEY, SixthEdition, Prentice Hall (1999).

2. Options, Futures and other Derivatives J. C. HULL, Fourth Edition,

Prentice Hall (2000).

3. . .

, , . , (1999).

Documents

Ecomical_analisis