Luận văn a study on sector index of stock market proposal for development of fpts sector index

VIETNAM NATIONAL UNIVERSITY, HANOI SCHOOL OF BUSINESS rt Nguyen Minh Khoi A STUDY ON SECTOR INDEX OF STOCK MARKET PROPOSAL FOR DEVELOPMENT OF FPTS SECTOR INDEX MASTER OF BUSINESS

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VIETNAM NATIONAL UNIVERSITY, HANOI

SCHOOL OF BUSINESS

rt

Nguyen Minh Khoi

A STUDY ON SECTOR INDEX OF STOCK MARKET

PROPOSAL FOR DEVELOPMENT OF

FPTS SECTOR INDEX

MASTER OF BUSINESS ADMINISTRATION THESIS

Hanoi - 2008

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VIETNAM NATIONAL UNIVERSITY, HANOL

SCHOOL OF BUSINESS

Nguyen Minh Khoi

A STUDY ON SECTOR INDEX OF STOCK MARKET

PROPOSAL FOR DEVELOPMENT OF

1 DR TRAN DOAN KIM

2 TRAN PHUONG LAN, MBA, PH.D CANDIDATE

TIanoi - 2008

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12 Objectives &Aims 1 1.2.1 Obieeives wel

122 Aim wel 1-3 Research question: 2 1⁄4 Method/Approaches ad

15 Scope of work a)

16 Data resourees =)

17 Method a3

18 Significance 3 1.9 Limitations 3 1.10 Expectedresul 3 1H Follow up (potential at 1.12 Short introductions a4 1.12.1 Chapter 1: Theoryfoundation - 4 1.12.2 Chapter 2: Analysis of sector indices a4 1.12.3 Chapter 3: proposal for developing FPTS sector imốex Š Chapter 1: TLEORY FOUNDATION 6

11 Introduction 6 LL.1 Definition of market index and sector inde: 26 1.1.2 Type of market indices 26

1.1.2.1 By industry (Sector indices 1.1.2.2 By goographic location 1.1.23 By the nalure of index members

1.1.2.4 By market capitalization (size) - 8

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2.2.6 Loealindices cammparison - 50

2.2.7.1 Drawbacks of VN-Index and [IASTC inđex - - 52

2 Additional drawbacks of other local index

Chapter 3: PROPOSAL FOR DEVELOPING FPTS SECTOR INDEX

3.343 Membsr sclcction ñowchairt

3.4 User requirement đescription (URD

REFERENCES

vii

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Aatudy on sector index of đoek mzrkel ~yroposal for đevelopmment df TPTS sector index

In order te achicve the objectives of the thesis, the author of thes

answer the following questions:

What are definition, types and applications of sector indices?

‘What are the calculation methods of sector indices?

What are the most known international and local sector indices? What

are the differences and similarities among them?

How to select members of FP'l'S sector indices?

Tlow to calculate FPTS sector indices?

What are the core FP'I'S sector back-end functionalities and frond-end

interfaces (user requirement description)?

Method/Approaches

Empirical method

Approaches: statistics

Scope of work

This thesis study most widely mentioned sector indices (both

international and local) by the time of finishing this thesis (August, 2008)

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REFERENCES

vii

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INTRODUCTION

Ld Research problem

One of the mest widely used tools to track industry or scctor

performance in the securities market is sector indices ‘These are the essential tools for investors to follow up sector movements as well as to see the trend in those movements However, the securities market of Vietnam still lacks of an comprehensive and effective sector indices tools since the official market indices of the securities market of Viemam (VN-Index and IIASTC-Index)

are to measure the overall market performance rather than any particular sector This thesis “A study on sector index of stock market and proposal for

development of FPTS sector index” is aimed al give oul a detailed proposal

for the development of FP'I'S sector indices

1.2 Objectives &Aims

1.2.1 Objectives

* Study sector index definitions

* Study sector index application and calculation methodology

indices

1.2.2 Aims

Give out detailed proposals for the development of FPTS sector index family,

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List† of cquations

Equation 1.1: Passcher method formula

Fquation 1.2: Laspeyres method formula

Equation 1.3: Fisher method formula

Equation 1.4: Simple arithmetic price average formula Fquation 1.5: Simple geometric price average formula

Equation 1.6: Index calculation formula

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INTRODUCTION

Ld Research problem

1.2.1 Objectives

indices

1.2.2 Aims

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Method/Approaches

Empirical method

Scope of work

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Method/Approaches

Empirical method

Scope of work

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1.1.2.5 By slyle (value or growth) 8 1.1.2.6 By dividend (dividend indices) 8 1.1.2.7 By combination of the above characteristics 8

12 Sector index applications 8 1.2.1 Sector monitoring and đetermiming secter trend 8 1.2.2 Creationofindew-linkediwestnsntprodueis Ð

123 Drcciseassctalloeations co 12⁄4 Ledge economic risk 9 12.5, Sector investing - - 10 1.2.5.1, Increase returns and reduce the overall risk of a diversified portfolio 10 1.2.5.2 Take advantage of long-term trends

1.3 Sector indices calcutation

133 Step 3: Divisor adjustment - - 15 1.3.3.1 Reasons for divisor adjustment cscs áieeeeeereeeroeoee cục Tổ 1.3.3.2 Divisor adjustment formula „18 13.33 Timing of divisor adjustments - - 17

Chapter Z: ANALYSIS OF SECTOR INDICES

2.44 Analysis of international sector indices

2.11 S&P select industry indice

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REFERENCES

vii

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Method/Approaches

Empirical method

Scope of work

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2.1.4.4, Index calculation

2.1.5 NYSE Scetor Indice 29 3.1.5.1 Index description and scclor classifivation system 29 2.1.5.2 Index membership - - 30 2.1.5.3 Index calculation - - - 31 2.1.6 Comparisonand eonelusionofintemational sector indices 32

Bn a ố 2.1.6.2, Conelusion

2.2 Analysisoflocalsector indices

2321 VN-Index and LIASTC Index - - 34 2.2.1.1 Index description - - - 34 2.2.1.2 Index membarship and eaieulatien « co so 35

` ` 3.2.2.1 Index doscriplion - - - 37 2.2.2.2 Index Membership - - 40 3.2.2.3 Iđex calenlation - - - 4

223 DC 30 Index - - - 4 2.2.3.1 Index introduetion

2.3.3.2 Index membership and calculation -

2.2.4, Thang Long 20, 30 Hdex à ceeeeeeeeeeeeeeee đỔ 3.2.4.1 Index doscription - - - 46 2.2.4.2 Index Membership - - - 46 2.2.4.3, Index calenlation ssnzeerrrrerrrarrrrroere đ7 32.5 §8130 Idex ì ceieeereeeeereoeee AB 2.2.5.1, Index đescription -48 2.2.5.2 Index membership and calculation - - 49

vị

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INTRODUCTION

Ld Research problem

1.2.1 Objectives

indices

1.2.2 Aims

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vị

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INTRODUCTION

Ld Research problem

1.2.1 Objectives

indices

1.2.2 Aims

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INTRODUCTION

Ld Research problem

1.2.1 Objectives

indices

1.2.2 Aims

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REFERENCES

vii

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Method/Approaches

Empirical method

Scope of work

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INTRODUCTION

Ld Research problem

1.2.1 Objectives

indices

1.2.2 Aims

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Steps to calculate indices includes 3 major steps

Summary of Momingstar sector index family

CBY Index family

CRY Sector Index family

DC VN30 Domestic performance vs VNUNDEX

DC VN30 Foreign performance again

SSI 30 performance in 2007 Procedure to select stacks to KP''S sector index Page layout of FPTS sector indices pages

Prototype of FPTS sector index homepage Prototype of FPS sector index sector page

Prototype of FPTS sector member page

List of tables

‘able 1.1: Divisor adjustment formula table

‘Yable 2.1: Comparison of international sector indices

‘able 2.2: Top 10 companies in LC VN30

Table 2.3: Thanglong Index scoring table

‘fable 2.4: Local indices comparison

‘lable 3.1: Major element and content of FPT'S sector indices

63

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REFERENCES

vii

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REFERENCES

vii

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List† of cquations

Equation 1.1: Passcher method formula

Fquation 1.2: Laspeyres method formula

Equation 1.3: Fisher method formula

Equation 1.4: Simple arithmetic price average formula Fquation 1.5: Simple geometric price average formula

Equation 1.6: Index calculation formula

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REFERENCES

vii

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Method/Approaches

Empirical method

Scope of work

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CBY Index family

List of tables

63

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CBY Index family

List of tables

63

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Tiêu đề	A Study on Sector Index of Stock Market Proposal for Development of FPTS Sector Index
Tác giả	Nguyen Minh Khoi
Người hướng dẫn	Dr. Tran Doan Kim, Tran Phuong Lan, MBA, Ph.D Candidate
Trường học	Vietnam National University, Hanoi School of Business
Chuyên ngành	Business Administration
Thể loại	Thesis
Năm xuất bản	2008
Thành phố	Hanoi

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