FullyArticulate
-DTN Guru-
Posts: 332
Joined: Sep 22, 2005
|
Posted: Feb 3, 2006 11:50 AM
Msg. 1 of 5
Not sure what happened with my last post.
Are beta and historical volatility not computed for all indicies? OEX.XO has both fields as 0. Shouldn't beta be 1? :-)
|
FullyArticulate
-DTN Guru-
Posts: 332
Joined: Sep 22, 2005
|
Posted: Mar 14, 2006 11:38 AM
Msg. 2 of 5
Another question on beta: The definition is listed as, "A coefficient measuring a stock’s relative volatility. It is the covariance of a stock in relation to the rest of the stock market. 30 day historical volatility."
What does "rest of the stock market" mean? Is it compared to the exchange its traded on? A particular index? Or all stocks everywhere?
Thanks!
|
DTN_Steve_S
-DTN Guru-
Posts: 2093
Joined: Nov 21, 2005
|
Posted: Mar 14, 2006 02:22 PM
Msg. 3 of 5
It does not appear that beta and historical volatility are computed for all indexes. Or at least they are not all currently populated for IQFeed. I am not sure which quotes have it calculated. Edited by DTN_Steve_S on Mar 15, 2006 at 03:47 PM
|
DTN_Steve_S
-DTN Guru-
Posts: 2093
Joined: Nov 21, 2005
|
Posted: Mar 15, 2006 03:46 PM
Msg. 4 of 5
Here is the response from our market data group on Beta. Quote: The coefficient which measures the volatility of a stock's returns relative to the market (S&P 500). It is based on a 36/60-month historical regression of the return on the stock onto the return on the S&P 500:
A minimum of 12 monthly returns are required for this calculation. A beta of 1 means that the market and the stock move up or down together, at the same rate. That is, a 5% up or down move in the market should theoretically result in a 5% up or down move in the stock. A beta coefficient of 2 suggests that the stock will tend to fluctuate twice as much as the market. That is, if the market moves up 5%, then the stock should move up 10%. A beta coefficient of 0.5 indicates that the stock will move one-half as much as the market, either up or down. A negative beta indicates the stock tends to move in the opposite direction from the general market. That is, the stock price declines when the overall market is rising, or rises when the overall market is declining. Negative beta stocks are rare. Edited by DTN_Steve_S on Mar 15, 2006 at 03:53 PM
|
FullyArticulate
-DTN Guru-
Posts: 332
Joined: Sep 22, 2005
|
Posted: Mar 15, 2006 04:05 PM
Msg. 5 of 5
Thanks, Steve! Relative to the S&P500 for all symbols is exactly what I was looking for.
|