Nevertheless, the results indicate that both indices are subject to calendar effects, although these are less evident in the TSE 300 index
. This means that the dynamical estimation and correction of the calendar effects may add a new insight to this issue.
If you had owned the TSE 300 Index
when Nortel plummeted, your investment would have tumbled considerably because the index was heavily weighted in that company.
We estimate beta using the market model on three months of daily data for each stock and the TSE 300 Index. The estimation period was not very long.
where [b.sub.j] is the stock beta, and [R.sub.mt] is the daily rate of return on the TSE 300 Index.
For example, investors sometimes compare the annual returns on the stocks in their portfolio with the yearly performance of the TSE 300 Index, which represents the performance of the market in general.
The TSE 300 Index is divided into 14 groups representing major industries, and is further broken down into 43 sub-groups of specific industry sectors.
This index has a better than 99-per-cent correlation with the TSE 300 Index
and has approximately 97-per-cent correlation to the Dow Jones Industrial Average and Standard and Poors 500.
where [b.sub.j] is the stock beta, and [R.sub.mt], is the daily rate of return on the TSE 300 Index