the role of information and trading volume on intradaily and weekly

Departamento de Economía de la Empresa
Working Paper 96-10
Universidad Carlos III de Madrid
Calle Madrid, 126
Business Economics Series 01
January 1996
28903 Getafe (Spain)
Fax (341) 624-9608
THE ROLE OF INFORMATION AND TRADING VOLUME ON INTRADAILY AND
WEEKLY RETURNS PATTERNS IN THE SPANISH STOCK MARKET
David Camino •
Abstract
_
The aim of this work is to document new results about intradaily and weekly effects in
the Spanish stock market, relating the returns in the stock index, during trading and non trading
hours, to the arrival of information and daily trading volume. Weekly and intraday patterns are
examined using the index Ibex-35 transaction data.
Twenty-three months oftransaction records
of the Ibex-35, at 15-minutes intervals, were examined in an attempt to better understand the day­
of-the week effect and trading return patterns, to further characterize systematic weekly and
intradaily price patterns. Several results were found:
-There are cross-sectional differences in weekday patterns found in both trading and non­
trading period returns. These patterns are pervasive over time and for different trading volumes.
We found a positive relation between opening volume and unexpected overnight volatility, which
is reflected in a higher standard deviation of returns, during the first to first and half hours of
trading.
-There are significant weekday differences in intraday trading returns in the first four
hours of trading. On Monday (and Wednesday) returns are negative, while on the other weekdays,
returns in this interval, are positive.
Key Words: Monday effect, Intradily returns in stock indexes, information and trading volume
• David Camino, Departamento de Economía de la Empresa de la Universidad Carlos III de
Madrid.
1.-
Introduction.
The aim of this study is to document new results about intradaily and weekly
effects in the Spanish stock market, relating the returns in the stock index, during trading
and non trading hours, to the arrival of information and daily trading volume. Weekly and
intraday patterns are examined using the index Ibex-35 transaction data.
The link between information and changes in assets prices is central to financial
economics. A fundamental tenet of market efficiency is that investors react to new
information as it arrives, resulting in price changes that reflect investors' expectations of
risk and return. Recent studies in market microestructure (e.g., Berry and Howe, 1994)
explore how price-volume relations are formed in financial markets, with emphasis on
intraday and weekly trading.
One of the most characteristics patterns in weekly trading patterns is the day-of-the­
week effect, an empirical regularity which refers to the observation than equity returns are
not independent from the day of the week. More specifically, the day-of-the-week effect
has been refered to the observed negative average return from Friday c10se to Monday
c1ose. For convenience this anormality has been labeled the Monday effect.
Several papers have identified and attempted to explain the Monday effect, but to
no avail. The effect was first documented by Osborne (1962), and has subsequently been
examined by numerous studies, including those of Cross (1973), French (1980), Gibbons
and Hess (1981), Lakonishok and Levi (1982), French and RolI (1986), Harris (1986) and
Admati and Pfleíderer (1988), among many others.
The purpose of this paper is, therefore, to more fully characterize the day-of-the­
week effect by studying intraday returns of the index Ibex-35 of the Spanish stock market,
measured over 15-minute intervals to show that they differ by weekday and trading
volume. These data have made possible the simultaneous analyses of, both, the cross­
sectional and intertemporal characteristics of the effects. Previous studies have stablished
the value of both types of analyses, yet none has determined whether cross-sectional and
intertemporal effects interact. This study shows that patterns in time-descomposed returns
vary by trading volume. Use of data by 15-minutes interval also allows a more precise
characterizacion of the timing of systematic return patterns within the trading day.
The remainder of the paper is organized into five sections. Sectíon 2 briefly
describes the data set of the paper and explain how the index Ibex-35 was formed and
how it works in practice, mimeting the Spanish stock market. Section 3 relates to the
•
evidende of the non-trading weekend and Monday effects. Section 4 describes the cross­
sectional analysis of the decomposition of the daily close-to-close return into trading and
non-trading periods. Section 5 links both effects to daily trading volume. Finally, a summary
is provided in Section 6.
2.-
Data description: The index Ibex-35.
During 1988 and 1989 a survey on the Spanish stock investment industry was
completed and a series of studies to create an index (Fiex-35), which would act the
underlying instrument for stock index derivatives to be traded in Spain, were under way.
On November 1991 the index Fiex-35 changed its name to Ibex-35, only to be designated
as the Official Stock Index for Spain.
Ibex-35 is a capitalization-weighted index comprising the 35 most Iiquid Spanish
stocks traded on the continuous and computerized system (CATS) and in December 29,
1989 the index was given the value 3,000.00 at the closing of the market on that date.
Ibex-35 was designed to fulfil the following three requirements:
(i) to behave as a good market indicator,
(ii) to be difficult to manipulate,
(iii) to be calculated continuosly and published in real-time.
The index is an accurate substitute of a diversified portfolio of the Spanish stock
market and, as a result, Ibex-35 and the Madrid General Stock Index (IGBM), has shown
a very c10se correlation (98%), since January 1988 (see chart 1). Ibex-35 covers, as well,
over 75% of market capitalization and almost 78% of the total market turnover, with less
than 10% of the stocks traded on the Madrid Stock Exchange.
Data for this survey has been computed during the twenty-three months between
February 1992 and December 1993. For each of the 447 different trading days in the
sample period the date, time (15 minute intervals), index value and daily trading volume
are, therefore, used. Returns have been computed as [(VtNt-1) - 1] * 100, where Vt is the
closing value of the index on day t, and Vt-1 is the c10sing value of the index on the
previous day that the Exchange was open. Thus, returns labelled 'Monday' cover the three
day period from Friday closing to Monday closing, in the absence of holidays, and have not
been expressed as daily average equivalents.
The value of Ibex-35 is available in real-time through several information vendors
and trades continously from 11 .00 to 17.00 hours and is calculated by dividing the total
index capitalization at moment (t) by the total index capitalization at moment (t-1),
according with the following equatíon:
Index (t) = Index (t-1) * [Capitalization (t)/Capitalization (t-1)] + J (t)
where,
"s"
"t"
Shares (s,t)
Price (s,t)
Value
Capitalization
Index (t)
J (t)
=
=
=
=
=
=
=
=
stocks; s = 1,
, 35
time
numer of shares "s" at "t"
last price paid for "s" at "t"
value of shares (s,t) * price (s,t)
sume of "s" values at "t"
index value at "t"
adjustment for stock issues
In order to ensure that the 35 stocks that form Ibex-35 are the most Iiquid ones, the
index is revised every six months coinciding with the natural semesters, ie. January and
July. The 35 stoks and their weight in the index for the first semester of 1995, are listed
in the following table:
[Here Table 1]
3.-
Evidence of the dav-of-the-week effect.
Evidence of the day-of-the-week effect in stock prices has generally been obtained
from studies of daily close-to-close returns in broad market indexes. Although these studies
conclusively identify sistematic return patterns -in particular, the negative Monday returns­
they are unable to fully explain their cause. In an effort to shed additional Iight on the
phenomenon, studies of open-to-close, close-to-open, midday and time dissagregated
returns have been undertaken [e.g., Prince (1982), Rogalsky (1984), Keim and Stambaugh
(1984), Smirlock and Starks (1986)).
... "....- - - - . - - - - - - - - - . - - - - - - - - - - r - , - 1.- - - - -."
-----------------------­
Prince (1982) examined daily returns in the Dow Jones 65 Stock Composite Index,
to conclude that the negative Monday effect appears primarily in the close-to-close returns,
and only to a lessor extent in returns measured from intraday prices. Although he
concludes that the effect may be caused, at least partly, by systematic high Friday closing,
he fails to interpret other anormalities.
Rogalsky (1984) descomposes daily close-to-close returns into trading and non­
trading day returns in the S&P500 Index, to discover, in contrast to Prince's paper that all
the average negative returns from Friday close to Monday close documented in the
Iiterature for stock market indexes occurs during the non-trading period from Friday close
to Monday open. In addition, average trading day returns (open to close) are identical for
all days of the wee k.
Keim and Stambaugh (1984) examined the daily close-to-close returns of ten market
value decile portfolios. They found that the day-of-the-week effects characterize the returns
of all size portfolios and that the effects may be more pronounced for small firms. In
particular, they showed that close-to-close returns are large for small firms on Fridays.
Smirlock and Starks (1986) analized (from January 1963 to December 1983) hourly
returns of the DJIA, to found that intraday patterns related to the day-of-the-week effect
have changed over time. In the last part of the sample, they found negative returns early
in the day on Monday and positive returns later on.
Jaffe and Westefield (1985) and Condoyanni et al. (1987) among others, have
examined the extent to which the day-of-the week effect in markets other than the US may
be attributable to correlation (contemporaneous or lagged) between their returns and
returns in the US markets. Using classical statistical analysis Jaffe and Westefield (1985,
p.441) concluded that investors confront a day-of-the-week effect in their respective stock
markets that is independent of the day-of-the-week in the USo
The weekdays' pattern of close-to-c1ose returns in this sample period is similar to
that observed in previous studies, as the mean of Monday close-to-close return of the Ibex­
35 porfolio is negative. Nevertheless, there is an important difference as Wednesday close­
to-clos~
return is also negative, in contrast to the other mean weekday returns, which are
positive. The negative returns accrue during non-trading or c1ose-to-open periods, in
contrast to the open-to-close trading period that has a positive return for all days of the
week (although only slightly positive on Mondays).
•
4.-
Trading and non-trading period returns and volatilities.
The issue of information driving market relationships is as old as economics.
Recently, the role of prívate information has received greater attention (see e.g. Berryand
Howe, 1994). One thrust of current research attempts to explain the higher return volatility
during trading hours than during nontrading hours that is documented in several studies.
French and RolI (1986), for instance, ofter three explanations for higher tradillg hours
volatility: first, public information is greater during trading hours; second, private
information is generated during trading hours by informed investors; and third, pricing
errors during trading hours increase volatility. Harris (1986) studies of intraday patterns
using transaction data show, however, that the major part of stock price moves occurs in
the first 45 minutes of trading each day.
To analize that, we provide greater detail on the trading versus nontrading periods
of Ibex-35 in Table 1 and Chart 2 and present mean returns and return volatility that are
similar to the results of French and RolI (1986), as we find that the volatility of returns is
considerably greater during trading periods that during non-trading periods.
Moreover, the pattern of volatility, as measured by the standard deviation of returns
by 15-minute periods is U-shaped (see Chart 3), with a strong decrease in the first trading
hour of the day (from 11.00 to 12.00) and more levered during the rest of the trading day,
for all days of the week. The U-shaped patterns observed here have been previously
documented both for return data [Harris (1986) and Wood, Mclnish and Ord (1985)] and
trading volume [Jain and Joh (1988) and Foster and Viswanathan (1993)] ..
French and RolI's (1986) finding of much higher variances during trading periods
may be attributed to the large move in prices during the first hour of the trading day, as
a consequence of information arrival while markets are closed. In the case of Spain, Bergés
and Soria (1990) also studied the open-to-close and c10se to-open volatility of the Spanish
Stock Market during the Gulf crisis, to conclude, as well, that volatility was higher during
non-trading periods.
However, if we exclude this first hour of trading of the trading-period variances and
include it in the non-trading period, as it is due to information accrued overnight, variances
may be much more appropiate. This adjustment, according to Berry and Howe (1994, p.
1333) "would reduce the trading period variances and increase the non-trading period
variances, diminishing support for French and RolI's (1986) private information hypothesis."
Several new observations emerge. Decomposition of close-to-close returns into
trading and non-trading periods indicates that the negative Monday and Wednesday close­
to-close return accrues before the market opens, while for the rest of the days, although
the close-to-open negative returns are still important, they are not enough to overcome the
negative returns observed during non-trading hours.
To further investigate systematic week day differences in open-to-close returns,
means were computed, by 15 minutes intervals, of the returns wich accrue within the
trading day. The results are presented in Table 2 and cumulative means are plotted by
weekday in Chart 4. There is a striking similarity, in the trading pattern, between Monday
and the other weekdays in the last two hours of trading (from 15.00 to 17.00). However,
the mean return for Ibex-35 in the morning interval between 11.00 and 15.00 hours, is
strongly negative on Mondays (-0.124%) and slightly negative on Wednesdays (-0.034%),
while in the other weekdays it is positive (0,01 %, 0.132% and 0,087%). The weekday
pattern observed in this two periods of trading is pervasive both through time and through
the cross-section volume.
A closed examination of intraday means for Ibex-35 reveals that the evolution of
prices during the trading day is not uniform on any of the weekdays. Mean intraday returns
at the beginning and end of the trading day (first and last 15-minutes periods) are five to
ten times larger in absolute value that returns that accrue in the middle of the day. These
casual observations are confirmed by previous research (see e.g., Harris, 1986).
To summarize, there are week days differences in the pattern of intraday returns
. within the first three hours of trading. Later in the day, no such week differences are
apparent. Further decomposition of the trading-period returns into a series of 15-minute
intraday returns reveals that there are only significant differences among weekdays after
the first 15-minutes of trading.
On Monday mornings (and more slightly, also on Wednesdays) prices trend to drop,
while on the other weekdays, they remain steady or rises. Otherwise, price patterns are
similar on all weekdays. The most striking similarity is a strong tendency for prices to rise
in the first and last 15-minute periods of trading. The latter result might suggest that,
apparently, the return-generating processes for the first few and last transactions of the
day are different from those which generate the mid-day transaction returns.
The results indicate that there are systematic time-series patterns in mean intraday
returns which are common to all the weekdays. Even within weekday trading periods,
prices do not evolve at equal rates. Further research will be necessary to identify the origin
of these patterns and to determine whether traders can profit by considering time-of-day
effects when planning their transactions.
1
.'
5.-
Trading volumen and the day-of-the-week effect.
Unlike previous research this paper analyzes trading and non-trading period returns
by daily trading volume, that will act as a measure of market activity. We measure trading
volume as the amount traded on Ibex-35 on a given period of time, in five blocks (from less
than 10 to more than 25 thousand million Ptas.). The results (Table 3 and Chart 5) show
that although the mean close-to-open and Monday and Wednesday close-to-close are both
negative, their magnitudes vary by trading volume. For small volumes (Iess than 15.000
million Pesetas) total c10se to c10se returns are negative, but for larger volumes the c1ose­
to-open and open-to-c1ose returns increases with volume and turns to positive values.
Trading volume differences in the decomposition of negative Monday c1ose-to-close
return may have implications for theories which try to relate negative Monday returns to
macroeconomic information. If macroeconomic information generated over the weekend
were the cause of negative Monday returns, why would that information be fully
incorporated ¡nto the indexes when markets open trading on Monday, but not in cases
when trading volume is larger. The same results can be observed for the remaining days
of the week, except on Wenesday. Overnight c1ose-to-open returns are negative, when
next day trading volume is small, but turns to positive for larger volumes. It appears
unlileky that the day of the week effect would be related to macroeconomic information,
unless that information affects nexts day trading volume.
To test for cross-sectional differences among returns during the trading day for
various trading volumes, an analisys of 15-minutes period returns and volatilities, similar
to those used to analyze the day-of-the-week effect, was conducted (see Table 4 and Chart
6). The intraday mean pattern returns by volume are very similar to those observed for the
different days of the week, with an increase of returns during the first and last 15 minutes
of trading. However, there is a c10se correlation between trading volume and the mean
return of Ibex-35, reflecting the fact that higher demand increases the index value. For
trading volumes over 25.000 million Ptas., the returns on Ibex-35 are much higher at any
time of the trading day, that for lower trading volumes, with a strong increase at the
begining of the day (first 30 minutes), reflecting the arrival of information prior to market
openning (see Chart 8).
The U-patterns of volatility during the day, for different trading volumes, are very
similar to those obtained for daily trading returns. There are no sharp differences in the
standard deviation ofreturns among trading volumes, but during the first hour and a half
of trading, volatility is much higher than during the rest of the day, as the arrival of new
information to the market makes prices more difficult to predict (Chart 7).
--------------------------,-,----------------------------­
The size decomposition in trading volume by week day close-to-open and open-toclose returns (see Table 5) can explain the differences mentioned above. In almost every
case, returns are higher during trading hours (open-to-close) every day and for every trading
volume, reflecting lower expectations of investors during non-trading hours, due to the lack
of information. Another important characteristic of the market, is that returns almost
uniformily increased with trading volume, during trading and
non~trading
hours, as a
consequence of increased demando
6.-
Surnrnary and concluding rernarks.
This paper examined trading and non-trading period returns and volatilities of the
Index Ibex-35, at 15-minutes intervals, in an attempt to better understand the day-of-the
week effect and trading return patterns, related to the timing of information arrival and
daily trading volume, during trading and non-trading hours.
Twenty-three months of the complete transaction records of the Ibex-35 were
examined to further characterize systematic weekly and intradaily price patterns. Several
results were found:
-There are cross-sectional differences in weekday patterns found in both trading and
non-trading period returns. These patterns are pervasive over time and for different trading
volumes. We found a positive relation between opening volume and unexpected overnight
volatility, which is reflected in a higher standard deviation of returns, during the first to first
and a half hour of trading.
-There are significant weekday differences in intraday trading returns in the first four
hours of trading. On Monday (and Wednesday) returns are negative, while on the other
weekdays, returns in this interval, are positive.
-There are systematic intraday return patterns which are common to all of the
weekdays. Returns are very large at the beginning and the end of the trading day. Returns
are, also, very similar during the last two trading hours.
-It is unlikely that the weekend effect, in this sample, is caused entirely by high
Friday closing prices, but for new information arriving and accumulated during the
weekend.
~-~--------------,----------r-----------'-----
Trading strategies based only on these weekly and intradaily patterns would,
usually, not be profitable beca use of transaction costs. However, further research will be
necessary before any conclusions can be made on this respecto
,-,-'--------------------,------------------------------
References
- Admati, A. R. and Pfleider, P. (1988) "A theory of intraday patterns: Volume and price
variability"; The Review of Financial Studies 1, pp. 3-40.
- Bergés, A. and Soria, P. (1990) "Los precios de las acciones dentro y fuera de horas de
mercado"; Información Comercial Española; Diciembre; pp. 179-186.
- Berry, T.D. and Howe, K.M. (1994) "Public Information Arrival"; The Journal of Finance
Vol. XLIX N°4; pp. 1331-1346.
- Brown, S.J. and Warner, J.B. (1980) "Measuring Security Price Perfomance"; Journal of
Financial Economics 8; pp. 250-258.
- Brown, S.J. and Warner, J.B. (1985) "Using daily stock returns: The Case of Event
Studies"; Journal of Financial Economics, 14; pp. 3-31.
- Condoyanni, L., O'Hanlon, J. and Ward, C.W.R. (1987) "Day of the week effect on stock
returns: International Evidence"; Journal ofBusiness Finance and Accounting, 14; pp. 159174
- Cross, F. (1973) "The Behaviour of Stock Prices on Fridays and Mondays"; Financial
Analysts Journal 29; November-December pp. 67-69.
-Easton, S.A. and Fatt, R. (1994) "An investigation of the robustness of the day-of-the
week effect in Australia"; Applied Financial Economics, Vol. 4 N° 2; pp. 99-110.
- French, K. (1980) "Stock Returns and the Weekend Effect"; Journal of Financial
Economics 8; March; pp. 55-69.
- French, K.R. and RolI, R. (1986) "Stock return variances-The arrival of information and
the reaction of traders", Journal of Financial Economics 17, pp. 5-26.
- Foster, F.D. and Viswanathan, S. (1993) "Variations in trading volume, return volatility
and trading costs: Evidence on recent price formation models", Journal of Finance 48, pp.
187-211
- Gibbons, M. and Hess, P. (1981) "Day of the week Effects and Asset Returns"; Journal
of Business 54; October, pp. 579-96.
II
- Harris, L. (1986) "A transaction data study of weekly and intradaily patterns in stock
returns", Journal of Financial Economics 16, pp. 99-117.
- Jain, P. and Joh, G. (1988) "The dependence between hourly prices and trading volume";
Journal of Financial and Quantitative Analysis, 23; pp. 269-283
- Jaffe, J. and Westefield, R. (1985) "The week-end effect in common stock returns: The
international evidence"; Journal of Finance, 41; pp. 433-454
- Keim, Donald B. and Stambaugh, R. (1984) "A further investigation of the weekend effect
in stock returns, Journal of Finance 39; pp. 819-40.
- Lakonishok, J. and Levi, M. (1982) "Weekend Effects on Stock Returns: A Note", Journal
of Finance 37; June pp. 883-89.
- Osborne, M.F.M. (1962) "Periodic structure in the Brownian motion of stock prices",
Operations Research, 10, pp. 345-79.
- Prince, P. (1982) "Day of the week effect: Hourly data. Manuscript (University of
Chicago, IL).
-Olfield G. and Rogalsky, R. (1980) "A Theory of Common Stock Returns over Trading and
Non-trading Periods", Journal of Finance, pp. 729-751
- Rogalsky, R. (1984) "New findings regarding day of the week returns over trading and
non-trading periods; Journal of Finance 39, pp. 1603-14.
- Smirlock, M. and Starks, L. (1986) "Day of the week and intraday effects in stock
returns"; Journal of Finance Economics, 17; pp. 197-210.
- Wood R.A., Mclnish, T.H. and Ord, J.K. (1985) "An investigation of transaction data for
NYSE Stocks"; Journal of Finance, 40; pp.723-741
-----------------,-----------------------------
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DES. STD.
LUNES
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0,955381
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0,546827 0,850715 1,080759
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LUNES
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MEDIA Y DESVIACiÓN STANDARD POR DIA DE LA SEMANA
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0,563359
0,53835
0,563378
DES. STD.
LUNES
MARTES
MIERCOL.
JUEVES
VIERNES
0,792733
0,841611
0,846387
0,955381
0,772356
0,001458
0,157795
0,08629
0,273255
0,261685
1,088371
1,016717 .
1,073736
1,189948
0,957475
-0,19079
0,112661
-0,0803
0,223525
0,219244
Cier.-Aper. Aper.-Cier. Cier.-Cier.
-0,09976 0,156974 0,058099
0,29902 0,723715 1,168041
0,546827 0,850715 1,080759
MEDIAS
LUNES
MARTES
MIERCOL.
JUEVES
VIERNES
MEDIA
VARIANZA
DEV.STD.
MEDIA Y DESVIACiÓN STANDARD POR DIA DE LA SEMANA
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LUNES
I
MARTES
I
lil
I
I
I
MIERCOLES
I
I
I
JUEVES
I
CIERRE(-1)-CIERRE
I
I
~ APERTURA-CIERRE
DIAS y HORAS DE COTIZACION
I
r
I
~ CIERRE(-1)-APERTURA
02 ' -
I
I
PORCENTAJES MEDIOS
Febrero 92-Diciembre 93
-
-0,1
o
0,1
0,2
0,3
VIERNES
I
RENTABILIDADES DIARIAS DEL IBEX35
I
I
•
....
MED.ACU
llfolES
MARTES
MlERCOL.
JUEVES
VIERNES
O
O
O
O
O
0.588422 0.318139
0,453188 0.3118124
0.583358 0.378501
0.538988 0,418513
0,583378 0,472311
DES. STO.
LlfoIES
MARTES
MlERCOl.
.AlEVES
VIERNES
1ND1145
1ND1215
-0.00108
0.020551
0,143358
IND1230
O,022D95
0.007577
0.1I875l18
0,111112
0,035148
-0.0152
0.0011888
0.047813
O,1Dl1879
0,1185252
0,183017
0,173483
0,210053
0.184558
0,188888
-0.00081
0,0178D9
0.132898
IND1300
-0.01475 -0.00578
-0.00888 0.007807
-0.00077 0,002982
-0,00575 -0,00249
0,022831 -0,011878
-0.00155
0.013709
0.117085
IND1245
-0.03878
0.011178
0.030828
0.111472
0,092832
-0.05151 -0.05727
0.001201 0.009107
0.030062 0.033024
0.105724 0.103233
0.115583 0.10l1805
0.148328 0.0lla078 0.108048
0,128551 0.11l8808 O,1255l18
0,133711 0.127232 0.088853
0.158329 0.109431 0,153829
0,141584 0,135307
0.18428
-0,02518 -0.03729 -0,02158
-0.01005 0,001118 0,002483
-0,00818 -0.01895 -0,01878
-0.0072 -0,00223 0.002583
0.028122 0.0301118
0,02738
-0.00438 -0.00549
0,033947 0.033913
0,184247 0,184158
1ND1200
0.258587
0,18045 0,148054
0,14834
0.242423 0,174178
0.201853 0,201182 0,140835
0.305788 0.258511 0,270842
0,257488 O,222l183 0,174351
-o.OO8S8 -0.03757
-0.02182 -0,01324
0,012937 0.008738
0,017538 0,005718
-0.00445
-0.0137
-0.00098 -0.00978
0,1185179 0,044141
0,255302 0,210099
IND1130
0.094412 0,084848 0.047278
0.052778 O,D3DlI82 0,017823
0.054075 0.1187012 0.075751
O,D95Il81
0,1128 0,118318
0.02517 0,020721 0,007024
0.094412
0,052778
0,054075
0.D95Il81
0,02517
-0,18332
-o.045l18
-0.18704
-o,05Il85
-0,04235
MEDIAS
LlfoIES
MARTES
MIERCOL.
JUEVES
VIERNES
0.11841
0,147538
0.384104
1ND1115
-0.08945
0.289125
0.548923
MEDIA
VARIANZA
DEV.STD.
INDII00
MEDIA Y DESVlACION STANDARD DE LOS RENDIMIENTOS INDMOUALES y AC\JMJLADOS
IND1330
-0.00491
0.ooaa74
0.0942
IND1345
0.081019
0.078545
0.105578
0.117448
0,113844
-0.07332 -0.08728
0,005242 -0,00521
0.022423 0.012041
0.088057 0.092735
O,D95507 0,111801
0.075019
O,D9lI884
0,135882
0.1111815
0,107583
IND1415
-0,08389 -0.08018 -0.09287
0,011819 0.002538
0,002994
-0.01182
-0.0127 -0.01482
0.098848 0.104818 0.108945
0.D95828 0.097212 0,085984
IND1445
1ND1500
1ND1515
1ND153O
0.014458
0,018947
0.137848
1ND1545
1ND1815
0.002511
-0.0009
0,017583 0.022842
0.1328 0,151138
1ND1800
1ND1845
IND1700
0,01287 0.0Il2019
-0.011823
0,019828 0,022297 0,025851
0,140813 0,148321 0,180158
1ND183O
0.078181
O,088D37
O,Il83838
0,094717
0,133851
O,0871l81
0.07_7
0,1181084
0,078021
0.091378
0.112701
0.097852
0,085823
0,188777
0,12948
-0.07493 -0.07018 0.000792
0.054494 0.08012 0.158838
0,004582 0.001731 0,085384
0,181434 0.183994 0,272385
0.10_1 0,181978
0,28188
0,11941
0,14471 0,151178 0,133898 0,153243
0.111l8ll9
0,194_ 0,181277 0,120423 0.150419 0.14175 0.144139
0.10859 0.128882 0.159385
0.11214 0.184092 0.1511187
0.130187 0,124212 0,171511 0,140318 0,149337 0,158147
0.125422 0,121482 0,148709 0.144812 0,148238 0.1_78
-0.10805 -0.12079
-0.1244
-0.1171 -o,1D902 -o.D9857 -0.08081 -0.08548
0.0050D9 0.014133 O,009ll97 0,015852
0.0432 0.051437 O,Il88D91 0.071749
-0.01031 -0.02884 -0,03434 -0.02258
-0,0083 -0,011182
O,DD95
-0.0288
0.1118877 O,I2D904 0,132048 0.1saaaa 0.213413 0,225175 0,211179 0.181545
0.084009 0.088488 0.0lI8834 0.081454 0,083859 0.107911 0,102124 0.107_
0,0711823
0.074_
0.081837
0,113102
O,D90883
-0.01537 -0,01274 -0,00381 0.0D7302 0.008079 0.009454 0.018755 -0,00484 0,010527 0.004752 0.07D9l18
0.00247 0.009125 -0,00414 0.005855 0,027248 0,008238 0,018854 0,003858 -0.01725 0,005825 0.088519
0.004505 -0.01832
-0,0077 0,011784 -o,D04D2 0,018297 -0.00232
0,02012 -0,00482 -0.00285 0.083854
-0.00307 0.014028 0.011145 O,D28837 0.054528 0,011782
-0,014 -o,D2863 -0,02011
0,00258 0,108391
-0.00198 0.002458 O,Ill10388 -0.00538 0.0022Il8 0,024252 -0.00579 0,005713 0,001045 0.053085 O,I000D3
-0.0028 -0.001I87 -0,00078 0.009322 0,017802
0,007958 0,007812 0.008943 0,008453 0,0174118
0.08921l8 0.DlI8384 O,0945l18 0.1l8D331 0,132241
IND1430
0,073582 0.073783
0,1182584 0.074278
0.088058 0.1187284
0.108238
0,13147
O,Il88488 0,081825
-0,00847 -0,00251
0.003185 -0.00385
-0.00078 -0,00212
0,007869 0,005127
0,001284 -0.01123
0.00108 -0.00288
0,010032 0,008814
0.100158 0,081328
IND1400
0.070482 0.084377
O,0702ll8 0.1187173
0,107547 0,083894
0.102269 0.1S8054
0.1118827 0.078193
-0,01805 -0.01388 0,003585
-0,00387 -0.01045 0,008207
-0,01118 -0.01038 -0,02388
-0.01718 0.008879 0,004114
-0,0133 0,018294 -0.01587
-0,01219 -0.00229
0,011818 0,010323
0,107779 0.1018D3
IND1315
•
..
I
I
1// --/
I
~
I
I
I
I
I
MARTES
VIERNES
JUEVES
Febrero 92-Dlclem bre 93
----
Lunes
~
Mlere .
~
-
Mar tes
Viernes
Jueves
I
-
IND1600
I
MIERCOLES
IND1300
IND1400
IN·D1500
HORA y DIA DE LA SEMANA
I
---
I
LUNES
IND1200
I
I ~
----- ~ '"'
--
I
PORCENTAJES
·-0,2
IND1100
-O , 1
O
0,1
0,2
0,3
(Datos diarios con intérvalos de 15m.)
IND1700
I
RENDIMIENTOS ACUMULADOS MEDIOS DEL IBEX
.,
\
I¡
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I
I
I
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LUNES
IND1200
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--+- MARTES
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HORA y DIA DE LA SEMANA
,
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Febrero 92-Dlclembre 93
--B--
IN D1100
-0,21
- O, 1 I
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0,2
0,3
PORCENTAJES ACUMULADOS
(Datos diarios con intérvalos de 15 m.)
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Periodos
I
VIERNES
MARTES
I
,
I
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MIERCOLES
IND1600
1
~,
IND1700
-'_'L--...LI--+1---!1L--...L----.L,
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IND1200
Febrero 92-Dlclembre 93
--B--
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IN O
D110
O
0.11
I
O2
~
~<x
I
0.3
I
I
I \ \'¡-\\
0.4
\1\'-:
,
I
Desviación Standard
I
0.5 I 'i"
0.6
(Datos diarios con intervalos de 15 m.)
EVOLUCION DE LA VOLATILIDAD DEL IBEX35
~
..
-0,01545
0,094349
0,080771
0,234602
0,617576
0,665975
0,753311
0,869763
0,820245
1,113764
MEDIAS
Menos de 10
-0,2363
De 10 a 15
-0,15515
De 15 a 20
-0,04046
De 20 a 25
-0,08812
Más de 25
0,127224
DES. STD.
Menos de 10
De 10 a 15
De 15 a 20
De 20 a 25
Más de 25
En miles de millones de Ptas.
0,416249
0,487879
0,551826
0,644038
0,649055
0,156974
0,723715
0,850715
-0,09945
0,299125
0,546923
MEDIA
VARIANZA
DEV.STD.
0,856212
1,028283
1,138538
0,90975
1,239272
-0,25113
-0,05968
0,041452
0,144965
0,74495
0,058099
1,168041
1,080759
Cier.-Aper. Aper.-Cier. Cier.-Cier.
MEDIA Y DESVIACiÓN STANDARD POR VOLUMEN
I
L
1)<1
I
I
I
DE 15 A 20
I
,
I
I
CIERRE(-1)-CIERRE
I
DE 20 A 25
I
I
I
~ APERTURA-CIERRE
EFECTIVO NEGOCIADO
DE 10 A 15
1
. . CIERRE(-1)-APERTURA
MENOS DE 10
Febrero 92-Dlclembre 93
-0,4
-o ,2
°
I
I
0,4'
0,2
I
I
0,6
PORCENTAJES MEDIOS
0,8 ,----- - - - . , 1 - - - -
(Volumen negociado enmifes de millones)
MAS DE 25
I
RENTABILIDADES DIARIAS DEL IBEX35
I
•
...
0,418248
0.487878
0,551828
0,844038
0,848055
O
O
O
O
DES. STO.
_
do 10
00 10.15
00 15. 20
0020.25
Mb do 25
MED.ACUM.
_dolO
0010.15
00 15.20
0.20.25
0,21081
0,18888 0,148531 0,108782 0,101223
0,208832 0,185857 0,148383 0,188348 0,113748
0,278801
0,20341 0,185083 0,251258 0,188412
0,278327 0,242542 0,183882 0.158848 0,_784
0,323531 0,275081 0,285188 0,188484 0,172858
0,083584
O,D99888
0,134818
0,118372
0,155735
0,080745 0,054185 0,057738 0,088247
0,083887 0,100833 0.085555 0,108232
O,oeoe7
0.075831 0,107128 0,014017
0,085871
0,10281 0,085411
0.0581
0,_233 0.08522 0,128748 0,104823
0,057752
0,085732
O,O183ll3
O,1011l82
0,1_
0,107278
0,101828
0.122523
0,133812
0.242702
0,_7
0,115838
0,134385
0,130852
0,201527
0,10584 0,138017
0,101204 0,080242
0,127851 0,122831 0,111114 0,174487
0,14832 0,142882
0,182474
0,1375
0,13851
0,104378 O,I388ll3 0,188442
0,22278 0,213873 0,188082
0,201844
-0,13721
-0,1183
-0,1258 -0,11771 -0,12288 -0,12881 -0,01584
O,ooe311 0,017412 0,01147 0,005801 -o,ooeoe 0,005151 0,083718
0,002418 0,02215 0,022417 0,002383 -0,01321 -0,01111 0,080388
0,12233 0,122018 0,147535 0,184818 0,234878
0,08825 0,114788
0,081838
0,118301
0,134125
0.178801
0,157085
-0,00488 -0,00711 0,113885
-0,01388 0.0132D8 O,0ee587
-0,0158 0.002085 0,081488
0,02552 0,037083 O,ll50281
-0,00383 0,033298 0,112044
INDI545 1ND18OO IND1815 1ND18JO 1ND1845 1ND1700
0,01287 0,082018
-0,0008 -0,00823
0,014458 0.002511
0,018847 0,017583 0.022842 0,018828 0,022287 0,025851
0,1328 0,151138 0,1_13 0,148321 0,180158
0,137848
-0,00172 -0,00823 0,014378 -0,00488 -0,00845 -o,OO4e8 -0,00585 -0,00078
-o,ooe3 O,ooee81
-0,0008 O,01Dee3 0,018808
-0,00824 0,001887 -0,01888 -0,00048
-0,0118 -0,00501 -0,00215 0 , _ O,ooeeol 0,004534 0,011181
-0,008 -0,00587
-0,01838 -0,01099 0,002454 -0.00145 0,012527 0,010844 0,001001 0 , _ 0,013207 0,027325 0,020332 -0,00033 -0,02002
-0,01818 -0,01002 -0,01213 -0,00781 -0,00233 -0,01573 -0,00254 -0,00804 0,033805 0.044878 0.02553e 0,007541 -0,00031
-0,0181 0,017873 0,001858 0,028802 0,002_ -0,00308 O.ooee54 -0,00788 - 0 , _ 0,017818 -0,00418 0 , _ 0,030285
0,084448 0,085508 0,088552
0,08424 0,088148
0,099203 0,081878
0,1018 0,09974 0,018802
0,178341 0,14818 0,085381 0,081874 0.088174
0,_588
0,1099 0,083581 0,088432 0,088838
0,170838 O,I08ll33 0,134558 0,107148 0,178437
0,008838
0,012081
-0.04118
-0,00207
0,020573
1ND1515 IND15JO
0.008322 0.017802
0,008453 0.017488
O,oeo:l31 0,132241
0,027008 0,001418 -0,08581 -0,08131 -0,10258 -0,13298 -0.13803 -0,12808 -0,12781 -0,13804 -0,12158 -0,12885
-0,1381 -0,14077 -0.14871 -0,14748 -o,14l108
0,018875 0,008058 0,002748 0,001438 0,023445 0,024583 0,025818 0,038087 0,028132 0,031728 0,011887 0,011382 -0,00042 -0,00544 -0,00758 -0,00112 0,001777
0,037318 -0,00384 -0.00188 0,000844 -0.02884 -0,00881
0,00185 -0,03821
-0,0588 -0,08858 -0,08713 -0.08858 -0.05808 -0,04542 -0,04442 -0,03811 -0,02481
0,085207 0,108445 0,137817 0,128208
0,08887 0,08211 0,081522 0,088458 0,071274 0,081258 0,048523 0,040808 0,038275 0.022545 0.020002 O,Olosea 0,044511
0.273202
0,305848
0,350544
0,54558
0,482088
0,027008 -0,02558 -0,08733
-0,0254 -0,01128 -0,03037 -0,00307
0.018875 -0.01082 -0.00831 0,004588 0.018007 0.001217 0,001323
0,037318 -0,04125 0,002081
0,00252 -0.02758 0,017038 0.011851
0,085207 0,041238 0,031172 -0,01141 -0,03854
0,0031 -0,00125
0,2711311 0 , _ 1 0,002114 - 0 , _ 0,014887 -0,00011 -0,03008
Vobnen en mllel de mllones de Ptas.
-0,2383
-0,15515
-0,04048
-0,05812
0,121224
INDll00 INDII15 IND1130 1ND1145 1ND1200 IND1215 IND12JO IND1245 INDI300 1ND1315 IND1330 IND1345 IND1400 IND1415 IND14JO IND1445 1ND1500
-0,0028 -0.00087 -0.00078
-0.09945
0,00108 -0,00288
0.0841 -0,00098 -0.00878 -0.00438 -0,00548 -0.00108 -0.00155 -o.oooel -0.01218 -0,00228 -0.00481
0.288125 0,147538 0.085178 0.044141 0.033847 0,033813 0.020551 0,013708 0,017808 0,011818 0,010323 0.ooee74 0.010032 0.ooee14 0.007858 0,007812 0 , _ 3
0,0842 0,100158 0,081328 0,088208 0,088384 0,084588
0,548823 0,384104 0,255302 0,210088 0,184247 0,184158 0,143358 0,117085 0,132888 O,10m8 0,101803
MEDIAS
_dolO
00 10.15
00 15.20
00 20. 25
Mb do 25
MEDIA
VARIANZA
DEV.5TD.
MEDIA Y DESVIACIóN STMlD DE LOS RENDIMIENTOS NORMAlES Y AC1.MJLADOS
f
I
I
I
Menps djl 10 I
I
--
Más de 25
¡.......--
I
I
IND1700
I
/
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./
~
~
IND1600
I
~
De 15 a 20
I
~
IND1300
IND1400
IND1500
VOLUMEN NEGOCIADO
I
De 15 a 20
De 20 a 25
I
r--
De 10 a 15
De 10 a 15
IND1200
I
~
De 20 a 25
Más de 25
Menos de 10
Febrero 92-Dlclembre 93
I
-
r---
~ r------..
I~
(
I
-0,2
IND1100
o
0,2
0,4
0,6
0,8
PORCENTAJES
(Datos diarios con intervalos de 15 m.)
RENDIMIENTOS ACUMULADOS MEDIOS DEL IBEX
I
I
I
Menos de 10
I
,-,
-=
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...........
~
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~
~
~
Febrero 92-Dlclem bre 93
--e-- De 20 a 30
-0,2
IND1100
-0,1
~
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f
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IND1700
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/~
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VOLUMEN NEGOCtADO
IND1300
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-=
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PORCENTAJES ACUMULADOS
&
O
0,1
0,2
0,3
0,4
0,5
0,6
(Datos diarios con intervalos de 15 m.)
RENDIMIENTOS ACUMULADOS MEDIOS DEL IBEX
~
•
..
r
~--f~~+~~~~~~~~~4
r
I
De 20 a 25
Menos de 10
~
Más de 25
-+- De 10 a 15
--*- De 15 a 20
IND1200
IND1300
IND1400
IND1500
IND1600
VOLUMEN NEGOCIADO (en miles de millones
Febrero 92-0lclembre 93
--B-
IND1100
IND1700
01----...L.-----l------'--t--L..----'------'------+---L-L..----'------t----'-----'--L..---t------'------'------'--t-----'--------'------'----1
0,1
I
I
1---------=~~~~*--__I__---_I_---_I__-___=_+___4~~~f::__J
I
I
O, 2
,
I
I--------'~~~-+-------t
I
I
I
0,3
\
I
I
I
1\ \ \
I
I
0,4
\\
I
I
1\
I
I
0,5
I
I
I ~<
f
Desviación Standard
0,6
0,7
(Datos diarios con intervalos de 15 m.)
EVOLUCION DE LA VOLATILIDAD DEL IBEX 35
MEDIA DE LOS RENDIMIENTOS POR DIAS y VOLUMEN NEGOCIADO
Cier.-Aper. Aper.-Cier. Cier.-Cier.
MEDIA
VARIANZA
DEV.STD.
-0,0992
0,299146
0,546943
0,156974
0,723715
0,850715
0,058099
1,168041
1,080759
MEDIAS
LUNES < 10
LUNES 10-15
LUNES. 15-20
LUNES 20-25
LUNES> 25
-0,37538
-0,17618
-0,02754
-0,07375
0,100823
-0,05778
-0,00517
-0,18888
0,39405
0,290344
-0,43277
-0,17885
-0,21502
0,319388
0,392205
MEDIAS
MARTES. < 10
-0,18745
MARTES. 10-1
-0,05083
MARTES.15-20 0,035754
MARTES.20-25 0,067012
MARTES> 25
-0,03692
-0,09242
0,205012
0,200825
0,135485
0,39011
-0,27959
0,154731
0,238058
0,202148
0,352565
MEDIAS
MIERC. < 10
MIERC. 10-15
MIERC. 15-20
MIERC.20-25
MIERC. > 25
-0,19548
-0,27026
-0,04519
-0,32486
0,213055
-0,05468
-0,06759
0,12142
0,183151
0,589468
-0,24756
-0,33719
0,075455
-0,14352
0,805519
MEDIAS
JUEVES < 10
JUEVES 10-15
JUEVES 15-20
JUEVES 20-25
JUEVES> 25
-0,08553
-0,17286
-0,09239
-0,06738
0,23352
0,08236
0,132713
0,035474
0,296067
0,907705
-0,00285
-0,03774
-0,05406
0,217578
1,140664
MEDIAS
VIERNES
VIERNES
VIERNES
VIERNES
VIERNES
-0,15075
-0,09142
-0,09135
0,07139
0,081307
0,208814
0,217818
0,180534
0,139698
0,548912
0,058262
0,126477
0,089883
0,209627
0,629753
< 10
10-1
15-2
20-2
>25
---------------.~---------r__--------------------
"
CIERRE(-1)-APERTURA
Tramos de S mil millones (de «10 a '25)
_
MIERCOLES
JUEVES
VIERNES
_
APERTURA-CIERRE
OlAS Y VOLUMEN DE COTIZACION .
MARTES
-IL.-..L.,-~:,....-Lr-Lr--L,..L-,-<~,.-L,--Lr..L.-'-r--L,.--L-,L,-...L.,--L.,-J-T-L-,...L,...L-,~~~~...L.r-~~,.--L-.-
v
/
LUNES
- O,4
0,4
0,6 J/
1 -/
PORCENTAJES MEDIOS
(Por volumen de· cotización)
RENTABILIDADES DIARIAS DEL IBEX35
'=
•
..
~,1I745
~,05013
0,281551
0,251121
~,08239
~,07108
AJEVES2G-25
JUEVES. 25
0,135811
0,342283
O
O
lLHES2G-25
lLHES.25
VlERNES2G-25
VIERNES' 25
VlERNES1~2O
MEDIAS ACUlI.
VIERNES < 10
VIERNES 11).15
AJEVES2G-25
AJEVES'25
AJEVES1~2O
MEDIAS ACUM,
JUEVES < 10
JUEVES 11).15
MEDIAS ACUlI.
MIERC. < 10
MIERC.lI).15
MIERC.15-2O
MIERC.2G-25
MIERC.• 25
MARTES.2G-25
MAftTES'25
MARTES.l~2O
MEDIAS ACUlI.
MARTES. < 10
MARTES. 11).15
0,001524
~,ool
~,01757
~,ooJ03
~,15781
~,OoI1l8
0,182_
0,271713
~.lm7
~,00I38
~,14554
~,02517
0,071271
0,037414
~,­
0,271511
0.514151
~,05251
0,111282
0,203742
0,403451
~,I0281
O,1022M
0,011118
0,405418
O 0.013554
00,_1
O 0,005728
O ~,18518
O 0,241873
0,300581
0,281551
~,OI318
O,Ofl5482
~,03213
0,108102
0,108753
0,421454
~,0551
~,01l77
0,107717
0,081774
O,2I8lM3
~,05I11
~,254ll
0.183111
~,15101
0,208174
~,07308
0,1114I22
0,01713I
~,11845
0,007171
~,30157
~,0I151
~,00I338
~,­
0,_1
0,241782
O,02IlM
0,021543
0,0015717
0,225713
0,417771
~,17088
0,103331
~,05007
0,423171
O,II588l1
0,283515
~,03781
0,024117
0,017752
0,011388
0,238117
0,4310114
~,08722
0,102213
~,07871
0,031711
0,17711I2
0,31"2
~,11717
0,037143
~,OoI248
O,255e8I
0,035411
0,011253
0,1411I54
0,003418
0,25171
0,371217
~,0I231
0,100lM3
~,08I22
0,0511001
0,137551
0,337107
~,05783
~,14588
~,1413
0,288025
0,27118
0,088137
0,000051
~,17121
0,015711
0.121131
~,31312
O,08IJ03
0,3_
0,125813
O,38N84
~,23815
0,012232
~,Ollll23
~,0378
0.010001
0,020501
0,071255
0,0011421
0,001177
0,113114
0,031125
0,022181
0.270334
0,207712
0,317515
~,11331
0,111817
~,00I781
0,08074
0,410717
~,O:lOll
~,10217
-0,07128
O,3035e7
~,10775
0,07202
~,OI023
~,31311
0,054831
0,1314111
~,2S357
0,015153
~.13432
O,032lI83
-0,02114
0,02534
0,005355
0.00771
0,014711
0,000114
0.00537
~,oooll
0,01538
0,071108
~.02858
0,257701
~.00I251
0,007211
0,118211
0,000043
0,214317
0,311313
~,leoe7
0,_2
~,03475
0,0011132
0,141125
0,005887
0,214111
0,311753
~,11588
0,127488 .0,127383
~,0I335
~,ONOoI
~,05I75
~,lI88I7
~,08831
O,02llll2
0,120334
0,_
·0,08181
0,088581
-0,08125
0,330742
~,Ol133
~,3ON3
0,0700157
0,141387
~,J0371
0,02158
~,10571
~.01213
~,ON7
~,O3111
0,020481
0,005471
~,02l13
0,001I55
~,00721
O,OOll533
~,0041
~,00038
O,oose55
~.01351
~,02521
~,OOIlI8
~.00I854
0,021515
O,ooooe7
~,02711
~,0115
~,02821
~,OI431
0,035372
0,114171
0,4_
0,358855
~,0I117
0,074333
~,00221
~,31oo7
0,100211
0,151123
~,27522
~,­
0,038848
O,011J03
0,025512
-0,11413
0,011718
0.014141
~,OoI807
0,001241
~,05213
~,031
0,014131
0,017812
~,00222
0,027417
0,018824
0,012181
~,02Ol1
~,ooe51
~,02301
~,02073
0.0015831
-0,00111
O,DlN34
0,01083
~,OoIOI
0,021711
0,003148
0,018343
0,022334
0,027858
0,0011
~.01113
~.02757
~,00531
0,001141
~,0141
0,025258
0,_
~,oo221
~,015111
~,IOOll1l
0._
~,OO488
0,054087
0,131013
0,_
0,211115
~,14725
O,oeeoo2
~,02l71
0,0017875
0,474118
~,12803
~,lMI8I
~,0I3N
0.314255
~,0I751
-0.01313
0,082757
~,3081
0,021335
0,208183
~.21824
~,10711
~,00274
~,00174
~,0I5l11
-0,01088
~,01354
0,007815
0,0111I31
0,053534
0,00113
~,03838
0,021185
~,00105
~,00I271
~,OO535
~,02111
~,02lO2
0,020731
0,0010111
0,010181
~,oo28
0,004001
0,071224
~,0218
~.00783
~,Ol552
~,00I55
~.171104
0,013951
~,OO523
~,OII38
0,005321
0,021708
~,OI284
0,010141
~,O2ll54
~,03l37
~,00I1
O,ooee74
0,01142
~.00481
INDl345
~,OII31
~,02l48
~,0281
0,010323
0,101103
~,00221
1ND13JO
~,00745
0,011111
0,107771
~,01218
1ND1315
0,027717
0,017108
0,13_
~,oooel
INDl300
~,03218
~,23088
0,011112
~,0772
0,021815
0,0012358
0,005428
0,051782
~,oo1l1
~,05118
0,073471
0,013105
~,oo107
~,02814
-0,00031
-0,00123
-O,05lW8
~,01808
~,01111
0,03207
0,0010388
0,051131
~,­
O,OlOOll1l
~,01113
~,031158
~,O:105e
0,007102
~,007111
~,01202
~,oosee
0,013708
0,117085
~,oo155
IND1245
~,07881
~,oosee
~,oo703
0,020551
0,143351
~,OOlO1
INDIno
~,l5e52
0,211552
~,211111
0,_5
0,088711
~,21551
0.141411
0._2
~.154D1
-0,07011
O,02381l1
0,033181
~,0314
0,0015118
0,011532
~,OI548
0,055507
~,00057
~,00I347
~,oo711
~,00N7
~,O3:lO3
~,05I75
~,10188
0,011121
0,033515
0,0011215
0,0017551
0,00185I
~,OoII13
~,00223
~,0l151
~,10187
~,11287
~,00I14
0,001572
0,033813
0,1""51
~,00548
1ND1215
~,O3548
0,0012021
0,000087
0.108107
-0,12722
0,221332
0,412272
~,OoI287
0,139037
0,242141
0.455807
~,07107
~,11115
0.211184
~,21422
0,_1
~,­
0,253435
0,_
~,12053
0,0011857
~,00751
0._
~.OoIlll
~,07175
0,030112
~,OoI171
.0,03425
0,008482
0,110048
0,011111
0,011103
~,00I518
~,0I181
~,03424
0,001_
-0,03281
0.322215
~,07821
0,053721
0.023714
~,­
0,347551
0,381781
~,0335
O 0,251121
O
O
O
O
O
O
O
O
O
0,_
~,0321
0,080173
0,080711
O
O
O
l~ES11).15
O,OU"'84
0,081423
0,017114
0,02474
~,18518
0.152205
~,00I25e
0,241873
~,02101
~,IOlJ18
0,005728
0,07138
O,0I1J07
~,02IOl
0,08173
0,_
0,013554
0,_1
0,101707
~,02807
~,02828
O,03N12
0,008547
0,072393
0.052451
~,OIl
~,08775
0,_
~,15075
0,1_21
O,OO8lM
~,02025
0,011574
~,­
~,OI757
~,03488
0,05218
0,0114808
~.02221
~,O1027
~,00I31
0,02150I
~,OO8Il
~,OI828
O,00ll538
~.00I882
0,03131
~,Ol813
~,00I15
~,01813
~,02888
0,033847
0,114247
~,OO431
INDI200
~,08877
~,I0333
~,02588
~.­
0,_1
0,020878
~,02528
~,02815
0,000531
-0,01021
-0,001241
0,041141
0,210088
~,00I71
1ND1145
~,08142
~,08135
0,23352
~,003
~,Oleoe
0,001335
0.011878
0,152411
0,005482
lLHES.I~2O
MEDIAS ACUlI.
l~ES< 10
MEDIAS
VIERNES < 10
VIERNES 11).15
VIERNES 1~2O
VI!RNES2G-25
VIERNES' 25
~,OO303
~,D1553
~,I72ll8
AJEVES1~2O
~,00I518
0,213055
~,27021
~,32411
~,0551
~,OIl77
0,107717
0,081774
0'-3
~,1_
MEDIAS
JUEVES <10
AJEVES 11).15
0,114422
~,07308
~,03371
~,0I123
O,023Oll4
-0,07788
0,024752
~,0321
0,211582
0.D5N80
0,135811
0,342283
0,053721
0,023714
~,0I780
O,oooe54
~,0I111
0,015178
0,255302
~,_
INDInO
0,_
0,080173
0,080711
0,0141
0,147531
0,3141001
IND1115
MEDIAS
MIERC. < 10
MIERC.ll).15
MIERC.I5-2O
MIERC.2G-25
MIERC. '25
MARTES.2G-25
MARTES' 25
0,035754
0.017012
0.015718
MEDIAS
MARTES, < 10
MARTES. 11).15
MAftTES.l~2O
0,100123
l~ES·25
lllNES2G-25
lLHES.l~2O
l~ES11).15
~,37531
~,17111
~,02754
~,07375
0,21llI125
O,5ol8823
VARIANZA
DEV.STD.
MEDIAS
lLHES < 10
~,llIllM5
MEDIA
1ND1100
MEDIA DE lOS RENDIMIENTOS POR DIAS Y VOLUMEN NEGOCIADO
~,0I101
0,2811111
~,Ol035
~,13308
0,055711
0,141331
0,2071
0,411II17
~,14711
0,012181
~.02l74
0,057351
0,451214
~,1358
~,O3305
~,01344
0,313953
~.0I101
0,011832
~,21212
~,01071
0,_52
0,182839
~,13821
~,01001
~,28131
0,00731
~,03243
~,OO531
0,001121
0,013255
0,_33
0,31082
~,14317
0,0017247
0,103148
0,008408
0,202182
0,411174
~,12013
0,081843
~,03107
0,030315
0,413218
~,1384
~,01084
~,10024
0,327245
~,0I185
0,008345
~,OIl23
~,2811
0.1111I1
0,111575
~,02l7
~,27855
~,1_
0,014151
~,OlO51
0,01871
~,OoI00I8
~,00147
~,02014
~,00481
0,014752
0,027231
~,00432
0,012023
~,02341
0,‫סס‬OO11
~,oosel
~,oooel
~,027001
0,022101
~,oo348
~,0221
0,018228
0,013282
~,Ol258
~,00545
~,00847
~,Oll31
0,011713
0,027428
~,oo72
~,OllO8
O,ooee14
0,011321
~,oo218
IND1415
0,013133
0,001314
~,00I17
0,000184
~,0003
0,027177
0,00235
-0,01013
-0,01348
~,01175
0,003117
~,03111
~,00717
~,OOJ07
0,00101
0,010032
0,100151
IND1400
•
0,003228
0,081331
0,032134
.0,17245
0,314111
0,08183
-0,10015
0,184451
0,451331
~,00I742
0,033543
0,4111111
~,13081
~,00154
~,08842
0,084741
~,­
0,311505
~,OW7
~,m31
0,080331
O,1311lM
~.2llO81
~,031KlO
~,11011
O,OO4lMI
~,02l71
0,022725
~,01252
0,015812
0,_
~,00774
0,013871
~,Ol501
~,01135
~,0211
0,007125
O,OOll513
0,008408
0,003227
~,01574
~,02811
0,0154
O,OO:lOll
0,002217
0,320833
~.1I180
0,053872
0,084381
0,0018137
0,200724
0,482358
~,08083
0,105134
~,0I114
0,413131
~,OJ022
~,02042
~,14713
~,07712
O,J07112
~,05778
0,003112
0,081888
~,28OlltI
O,141l125
0,_
~,022Ol
~,OO81
0,0013538
0,071145
~.13315
0,273371
~,1_
0._1
0,304113
0,031187
0.oese18
0.011I77
0,218332
~,035IlI
0.1111118
0,_ 0,_
-0,01882
0,215357
0,108131
~,03483
0.318875
~.08821
0,037141
0,041087
0.011121
0.51211
0,*131
O,lMIOO4
0,141353
~,01472
~,Ol0015
0,417271
~,01575
0,415071
~,05*
0.453371
~,03031
~,14857
~,0I139
~,13581
~,02415
~,01272
~,I35n
~,05755
0,271122
~,0l131
0'-1
0.012103
0.148101
~,25213
0,11718
0,013714
~,2noe
~,_1
~,11712
0._
0._
0.011817
~,O3251
~,00138
0.145301
0,011341
0,_
0,030157
0,02021
0,022201
0,_
~,0327
0.000111I
~,ool34
~,01511
~,OI072
0,028331
0,001772
0.038521
0,_
0.030887
0.022811
~.01112
0.003834
0.017102
0.017_
0,132241
1ND15JO
0,01_
0.110217
~,2I211
0,027125
-0,_
0.141274
~,03111
-0,18155
~,03111
O,0211lll2
0,002584
~,OOI17
0,007352
0,_3
0,0013I
0,033142
0,003974
0.0I1m
~,0013
O,lM3284
O,0121l15
0,005458
~,oo1l1
0.010388
0._
~.­
0,022271
0,015523
~.14172
0,_
0,011153
0,_
0,001322
O,DlIIM53
0.0lI0331
1ND1515
~,07t77
0.271412
~,oml
0,0114714
~,0074
-0,25122
0.085e24
0.17_
O,lO588l1
~,281
~,05305
~,30883
~,18181
~.01N5
0,001421
0,01774
0,007141
~,Olm
-0,_
0,004202
0,022111
0,014833
0,022321
~,03882
~,OI021
·8,2E-05
~,00075
~,­
~,03147
~.01882
0,002785
~,01101
0,028171
0.028718
~.01001
~,OII83
0,008528
~,0l121
0,_3
0,_
~,ooo71
1ND1500
~,00251
~,leo7
·0,00121
·0,00184
0,017003
0.0100112
0,001217
·0,01373
0,023705
0,015715
0,001273
0,021021
·0,05390
0,021lW8
~,02818
~,OlllM
0,021283
~,00312
0,001423
0,017148
0,007224
0,03317
0,015517
0,014831
~,02155
~,OoI811
~,00712
~,02052
~,02212
0,007112
0,081*
~,oooe7
INDl415
~,01133
~,01127
~.01388
0,0071158
0,088201
~,0021
INDt430
0,348154
~,08DIll
0,017771
0,071171
0,084718
O,5e25e7
0,137124
0,_3
0,342124
0,_1
0,088771
0,502171
~,14507
~,01871
~,IOo102
0,232421
~,0318
0,011888
0,182838
~,2388I
0,212274
0,021125
~,28813
~,02041
~,18812
~,18754
~.07042
0,351117
0.0-
0,_
0,050001
0,020171
0,102241
0,021701
0,330177
o.elO727
O,03lllW8
0,0511137
0,450737
~,14881
~,15048
~,0213
0,010227
0,013171
0,031837
0,001385
0,322541
0,2411II2
0.711187
~,lM484
0,020123
O,05IB58
0,02527
0,052413
O,35l1113
0,_
0,071441
0,01504
0.72133
0,22134
~,OI801
o,omee
0.108114
0.015711
0.072188
0.471581
0,178113
0,251335
~,07113
0,002471
0,0018527
0,030113
0,552118
0,_
~,00041
0,01278
0.111235
0,534053
0.5_
~,lNI
~,17171
-0,15182
-0,15214
O,~07
0,07817
0,135148
0,_
~,23481
0,208578
0,2178
0,\11041
0.142381
0,_74
0,0127011
0,131757
0,035413
0,_74
O,lIlM037
0,512351
0,11214
O,l22Nl
~,007l7
~,ll58I2
0,204183
0,1_
0,134331
0,410327
~,01322
~,18831
0,383205
0,282512
0,37_
0,153402
~,05I
~,OOI73
0,135112
O,108D1l1
0,114188
0,070217
0,071871
0,080233
0,082228
O,107IM2
0,0010138
0.225374
0,051185
0,071104
O,GC1I287
0,103111
0.101185
0,141737
0,125522
0,003511
0,041885
O,0I5lI2
0,101137
0,007114
0,125318
0,011141
0,13911
0,082018
0,025851
0,110151
1ND1700
~,31475
~,11114
~,01434
O,I1I11B5
~,­
0,041773
0,051385
0,018757
~,_7
0,034885
~,00212
0,002157
0,024251
~,Ol881
O,08DIl23
~,Ol811
~,01711
~,Ol218
0,012337
0,010I28
~,Ol808
0,014502
~,0217
O,Il25I04
O,Ol07t5
0,003725
0,004371
~,oo137
0,01217
0,022217
0,148321
1ND1N5
0,_
0,213771
0,07_
0,014188
0,1551M3
~,21321
0,127781
O,35777t
~,31813
~,Oleoe
-0,11471
O,lMID11
0,037072
~,02255
~,OllN
~,OO371
0,010133
~,02532
~,02407
~,03358
.
0,022821
~,015301
~,Ol407
~,00811
0,013108
0,011775
-O,lM342
~,Olnl
0,005517
~,00I1
O,l:lO101
O,ooee24
0,002204
~,0031
~,Ol385
0,018121
0,1401113
~.00I23
IND11JO
0,084171
~,11553
~,14287
O,OOO2U
0,327188
0,_
O,osese2
0,172253
~,20715
0,231873
0,111874
~,11081
~,OO411
~.32133
0,071112
~,-
~,OoI113
0,033175
~,01174
0,05747
~,08402
~,07115
~,00I338
0,000047
0,078187
~,Ol088
0,00752
0,054122
~,Ol512
0._
0,0017712
~,01471
~,02151
0,01_
~,0301
~,01737
~,00217
~,02708
0,021517
0,022lU2
0,151131
~,OOOI
1ND1115
0.073284
0,183711
0,012412
~,22
-0,_
0,_
0,1_1
0,0_
0,0101118
0,001I033
0.01817
~,0017
0,030271I
~,02117
0,_1
0,011181
0,07111
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~,00I314
~,03551
~,OoI581
~,01284
~,05213
0,051158
~,00541
~,OoI588
0,000127
0,0018317
O,0I31ll3
~,ooeel
0,0181182
0,027385
0,117831
~,01533
0,000571
0,0011831
0.002511
0,0175113
0.1321
INDUIOO
0,050121
0,027108
~,00024
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0,021138
~.00ll53
0,_3
0,037131
0,080223
0,035583
~,00835
~,0213
~,D382
~,OI413
0,013818
0,018281
0,001313
~.035N
0.0015013
~,Oll55
0.021073
~,0005
0,014151
0,0111947
0,137148
1ND1545