Beruflich Dokumente
Kultur Dokumente
Tutorial 1
Tutorial 1
Tutorial 1
Tutorial 1
Tutorial 1
Tutorial 1
∑𝐧𝐢=𝟏 𝐏𝐢
𝐏𝐖𝐀𝐈 =
𝐝
where Pi is the price of the stock that is included in the index
d is the divisor
∑𝐧𝐢=𝟏 𝐏𝐢 × 𝐐𝐢
𝐕𝐖𝐀𝐈 =
𝐝
where Pi is the price of the stock that is included in the index
Qi is the quantity of shares outstanding related to the stock that is included in
the index
d is the divisor
Tutorial 1
Tutorial 1
P0 Q0 P1 Q1 P2 Q2
A 90 100 95 100 100 100
B 50 200 45 200 45 200
C 100 200 110 200 55 400
a. Calculate the price-weighted index value of the three stocks at time 0 and time 1.
(90 + 50 + 100)
At t = 0, the value of the index = = 𝟖𝟎
3
(95 + 45 + 110)
At t = 1, the value of the index = = 𝟖𝟑. 𝟑𝟑
3
b. Calculate the rate of return on a price-weighted index of the three stocks from time 0 to
time 1.
(83.33 − 80)
The rate of return = = 𝟒. 𝟏𝟕%
80
c. What is the divisor for the price-weighted index in year 2 after the stock split?
(95 + 45 + 55)
= 83.33
d
d = 𝟐. 𝟑𝟒
e. Calculate the rate of return of the price-weighted index from time 1 and time 2.
(85.47 − 83.33)
The rate of return = = 𝟐. 𝟓𝟕%
83.33
Tutorial 1
Tutorial 1
f. If the starting value of the market value weighted index is 100, calculate the rates of
return from time 0 to time 1 and the index value at time 1.
At t=0, total market value
= $90 × 100 + $50 × 200 + $100 × 200 = $39,000
g. If the starting value of the equally weighted index is 100, calculate the rates of return
from time 0 to time 1 and the index value at time 1.
$95 − $90
rA = = 5.56%
$90
$45 − $50
rB = = −10%
$50
$110 − $100
rC = = 10%
$100
Tutorial 1
Tutorial 1
Trading Mechanisms
Dealer Markets
Electronic Communication Networks (ECNs)
Specialist Markets
3.3 & 3.4 U.S. Securities Markets and Market Structure in Other Countries
NASDAQ
The New York Stock Exchange
Electronic Communication Networks
Tutorial 1
Tutorial 1
Tutorial 1
Tutorial 1
Dée Trader opens a brokerage account and purchases 300 shares of Internet Dreams at $40
per share. She borrows $4,000 from her broker to help pay for the purchase. The interest
rate on the loan is 8% p.a. and any interest incurred will be included in the liabilities.
a. What is the initial margin in Dée’s account when she first purchases the stock?
Dee Trader
Assets Liabilities
Internet Dreams
Loan $4,000
300 x $40 = $12,000
Owner's Equity
Equity
$12,000-$4,000= $8,000
$8,000
Initial Margin = = 𝟔𝟔. 𝟔𝟕%
$12,000
Tutorial 1
Tutorial 1
b. If the share price falls to $30 per share by the end of the year, what is the remaining
percentage margin in her account? Please explain whether the investor will receive a
margin call if the maintenance margin requirement is 30%.
Dee Trader
Assets Liabilities
Internet Dreams
Loan $4,000
300 x $30 = $9,000
Interest Incurred
$4,000 x 8% = $320
Owner's Equity
Equity
$9,000-$4,000-$320= $4,680
Tutorial 1
Tutorial 1
d. How low can the price of Internet Dreams fall in order to get a margin call before any
interest incurred?
Asset − Liabilities
Maintenance Margin = = 30%
Value of Stock
300P − $4,000
= 30%
300P
P = $𝟏𝟗. 𝟎𝟓
Tutorial 1