金融市场创新与发展ppt课件

1、金融市场创新与开展骆玉鼎 博士上海财经大学证券期货学院副院长.金融市场创新的动力与原那么金融“三性与创新控制与创新金融创新的原那么.三性关系盈利平安流动.“三性 关系 收益平安流动.例一：收益性与流动性活期存款美定期存款和储蓄存款美创新要点：延续变幻CDs大额可转让定期存款单工商银行资金管理业务银证通业务.例二：平安性与收益性股票投资股票指数期货股指结合型产品.例三：平安性与流动性黄金、房地产黄金凭证、房地产信托投资单位REITs.REITs历史可追溯到1880年代，防止双重课税年，共有家挂牌房地产投资信托，股票市值为亿美圆，到年添加到家挂牌，股票市值为亿美圆，数量翻了约一番，股票市值添加为原

2、来的倍。目前美国约300家，市值3000亿美圆.REITs种类收权益型 拥有和运营收益型房地产，业务包括出租、开发和租户效力，绝大多数房地产投资信托属于这种类型。按揭型 直接贷款给房地产业主和运营者，或经过收买贷款和由按揭支持的证券来间接地施放信贷。现今的按揭型房地产投资信托，普通只给现成的物业提供信贷，很多现代的按揭型房地产投资信托，经过运用证券化的按揭投资和有效的对冲技术来管理其利率风险。混合型 既拥有物业，又提供信贷。.REITs的资历美国持股要求。至少要有名股东，前大股东在每一纳税年度的后半年内，不得持有超越的股份退休基金除外。 2资产要求。资产价值至少以上为房地产、现金和政府证券，持

3、有某一个发行人的证券不得超越资产价值的，不得持有超越某一发行人的流行在外的具有投票权的证券的。 收入要求。至少的毛收入来源于红利、利息、租金收入或某些资产出卖利得，至少的毛收入必需来源于租金收入、有抵押担保的债务的利息收入、某些资产的出卖利得、或投资于其它房地产投资信托的收入，不得有超越的毛收入来自于出卖持有缺乏六个月的股票或证券，或持有缺乏四年的房地产非自愿变卖或拍卖的除外。 分派要求。给股东的分派必需相当于或超越房地产投资信托应纳税收入的，对房地产投资信托要求的本质是公司的资产主要是由长期持有的房地产组成，公司的收入主要来源于房地产，公司至少的应纳税收入应分派给股东。.REITs举例DUK

4、EDUKE重庆国投景龙信托深国投水榭花都.例四：控制与创新美国Q条例V.S.“现金管理帐户海外附属机构法V.S.跨州银行业务格拉斯-斯蒂高尔法V.S.银行控股公司洗售.构造化洗售保底与受托理财外汇控制V.S.资本外逃.创新的原那么提高金融效力效率充分利用法律规定利润最大化、最快化与可继续开展复制V.S.反复制.中国金融市场创新与开展中国金融市场的控制背景 市场准入、利率、汇率、资金用途控制在多大程度上有效？产品创新、机构创新与制度创新.证券市场创新与开展固定收益证券创新并购方式创新基金产品创新支付与清算系统创新.固定收益证券创新固定收益证券的含义fixed-income securities种

5、类 国债(银行间市场报价、买卖排行) 企业债公司债？ 可转换债券 构造化债券 债券与隐含期权(embedded options).可转换债券定义举例1：机场转债 上海机场募集阐明书转股情况例2青岛啤酒.构造化债券1986年Standard Oil发行面值$1,000不付息债券 到期支付 ：$1000+附加额 附加额= min($2550,170*(p-25).隐含期权赎回权(call)返售权(resell)偿债基金sinking fund重订价reset例：机场转债100009中的隐含期权.并购方式创新协议收买上市公司非流通股拍卖方式竞买上市公司股权华润收买ST吉发债务市场间接纳买债转股征集代

6、理权第三方代为收买上海华企投资和资产新闻实业以4250万元的价钱收买女儿红酿酒有限责任公司,其中前者占46%的股份，后者占54%。资产新闻实业收买后，将其中25%的股份转让给香港的一家有台资背景的公司。托管与期权方案相结合 2001年4月，宁夏恒力面向境外投资者公开征集股权受让人，方案经过股权委托管理和签署的方式引进外资股东。换股并购资产置换方式.信托业创新案例一：外环隧道工程案例二：湘计算机案例三：山东国投外汇资金信托.基金产品创新伞形基金湘财合丰系列基金指数基金华安180指数基金保底基金南方避险增值基金 招募书明书买卖所买卖基金ETFs.支付与清算系统创新实时全额v.s.差额清算系统电子化

7、支付清算与电子货币货币民主化？.保险业创新投资结合类产品保险V.S储蓄.银行产品创新储蓄种类个人金融效力银证、银保协作.衍生品市场创新期货期权互换递延买卖.期货买卖的来源与开展来源开展现状.期货市场的源头古埃及 Genesis, ch41 “Egyptian pharaohs dream and Josephs trick印度孔雀王朝2000B.C18世纪欧洲“to- arrives期货买卖所的诞生.CBOT的诞生CBOT，1848年82个谷物商人成立地理位置1851年CBOT第一张远期合约1865年第一张期货合约 .CBOT市场统计2002年统计.当前全球期货买卖情况约74家买卖所. 197

8、0年代，美国各期货买卖所年买卖合约1300万张，主要为农产品1990年代，美国期货合约年买卖5300万张，农产品期货占10%左右.全球期货买卖所情况.重要买卖所CME(Chicago Mercantile Exchange)LIFFE(London International Financial Futures and Options Exchange)(COMMEX) Commodity and Monetary Exchange of Malaysia(KCBT)Kansas City Board of Trade (KOFEX) Korean Futures Exchange(NYME)

9、New York Mercantile Exchange .买卖所会亏损吗？LIFFE,1999.期货合约定义：买卖双方商定按既定价钱在未来买卖一定量物品的规范化合约特点 1、价钱、数量、时间曾经确定 2、交割尚未发生 3、规范化.合约种类商品期货 1、农林畜产品 2、能源及化工产品 3、金属产品 4、金融期货 1、利率 2、货币 3、指数 4、股票天气期货.合约要素根底资产underlying)合约规模Contract size交割安排Delivery arrangements交割月份Delivery months报价方式Price quotes价钱动摇限制Daily price movem

10、ent limits持仓限制Position limits.CBOT电子买卖小型黄金合约合约规模33.2 fine troy oz.交割等级：纯度99.5%,金条分量误差不超越10%最小价钱变动：10 cent/fine troy oz. (or $3.32 per contract).报价：Dollars and cents/fine troy ounce.合约月份：月度合约最后买卖日：合约月份倒数第三个任务日最后交割日：合约月份最后一个任务日 买卖时间：电子 8:15 pm to 4:00 pm, Chicago time, Sunday Friday. 买卖代码Electronic Tr

11、ading- YG.报价Prices(open ,high, low)Settlement priceLifetime highs and lowsOpen interest( one day before)Volume of trading(estimated).6月18日报价CBOT纽约金报价NYMEX报价.买卖流程Steps of tradinginvestorbrokerTrader on the floor.经纪商与委托指令 Types of traders on floor of exchange 1. Commission broker 2. LocalsTypes of ord

12、er 1. Market order 2. Limit order .保证金制度 逐日清算制度marking to market保证金种类 1. 初始保证金 2. 维持保证金 3. 清算保证金(gross basis &net basis).CBOT保证金要求保证金按目前价钱，每张合约价钱为11819美圆，维持保证金/价钱比不到20%投机性买卖、套期保值买卖与利差价差买卖保证金有所区分.交割空方选择交割方式交割意向书Cash settlement.买卖与买卖者类型投机套利套期保值.监管美国中国 1. CFTC( Commodity Futures Trading Commission) 2.

13、NFA(National Futures Association) 3. SEC( Securities and Exchange Commission) FED, U.S Treasure Department.期货价钱的影响要素现货价钱变动时间利率仓储费持有现货方便性.期货合约的实际价钱无收益资产知收益资产知收益率资产具有保藏费用的资产持有现货具有“方便收益的资产.套期保值目的 财务情况确定性金融学二“公理 more certain is better than risky the earlier money is better than latter 套期保值的完备性多头套保与空投套保.

14、基差风险目的资产与期货合约根底资产不一样现货头寸时间不确定期货合约能够提早平仓.基差定义 Basis= 目的资产现货价钱期货价钱基差加强与减弱.记号S1 : t1时辰现货价钱S2: t2时辰现货价钱F1: t1时辰现货价钱F2: t2时辰现货价钱b1: t1时辰基差b2: t2时辰基差.Calculation of basisb1= S1 - F1b2= S2 - F2.例1Account receivable within 2 months foreign exchange now: spot $2.50 future $2.202 months latter: spot $2.00 fut

15、ure $1.90Short hedgeResult: Income: S2+F1-F2=F1+b2=2.20+0.10=$2.30.Example 2Account payableLong hedgeResult: cost=S2+F1-F2=F1+b2=$2.30.目的资产与合约根底差别导致的基差Sometimes, the asset to be hedged may not identical to the underlying asset of futureResult:Cost(income): S2+F1-F2This can be written as: F1+(S2*-F2)

16、+(S2- S2*).合约选择合约根底资产选择合约月份选择.运用举例厂商空头套期保值零售商空头存货套期保值消费者厂商多头套期保值NYMEX案例.股票指数期货 .从“ 911恐惧袭击事件谈起指数期货买卖的高风险、高收益特征与现货市场买卖对比.道琼斯指数期货.收益情况如恐惧资金于9月3日做空12月道指期货卖出价10000点9月21日平仓，买入价8000点那么盈利1000080001020，000投入保证金5，400.S&P 500指数期货.盈利情况如恐惧资金于9月3日做空SP500期货卖出价1150点9月21日平仓，买入价950点那么盈利115095025050，000投入保证金21,563.NA

17、SDAQ100指数期货.RUSSEL指数期货.Dow Trans (E) Cash.911 前后 UAL成交量变化图 09/18/2001 18.990 50686 09/17/2001 17.500 100201 09/10/2001 30.820 6103 09/07/2001 31.550 6623 09/06/2001 31.750 5683 09/05/2001 32.700 4787 09/04/2001 32.670 3717 08/31/2001 32.680 2243 08/30/2001 32.600 3349 08/29/2001 32.640 2398 08/28/20

18、01 33.650 2902 .做空UAL收益情况如恐惧资金9月10日按$30.82卖空UAL，并于9月17日平仓，买入价$17.50。那么盈利$13.32本钱30.82*0.4=$12.328根据美联储规定，做空初始保证金比率40%,且收益不得动用.AAR.做空AAR收益假定按25美圆做空，18平仓收益7本钱10.American National Insurance.ALLSTATE CORPALJNYSE.LOCKHEED MARTIN .股票指数期货的初步认识高杠杆率高风险、高收益很难把握.关于股指期货合约以及买卖的根本知识合约要素买卖流程.合约要素合约规模每点价值涨跌停制度保证金制度

19、持仓限额买卖时间清算价钱交割月.例：合约要素DJIA 合约要素其他股指期货合约举例.S&P 500 Index futureThe Index is based on the stock prices of 500 large-capitalization companies. The market value of the 500 firms is equal to about 80 percent of the value of all stocks listed on the New York Stock Exchange. Over the past few years, S&P 50

20、0 futures trading has averaged more than $25 billion per day the minimum tick size is .10 index points, so the minimum tick is $250 x .10, or $25.00 per contract.E-MINI S&P 500 Started on Sept,1 1997Point value is $50.NASDAQ 100 INDEX The Nasdaq 100 Index comprises 100 of the largest domestic, non-f

21、inancial common stocks listed on The Nasdaq Stock MarketThe Nasdaq 100s multiplier is $100 with a minimum tick size of .05, so its minimum tick is $100 x .05, or $5.00 per contract. .Value Line Contract SpecificationsCOMMODITY: Value Line Stock Index Futures(Trading Began Feb. 24, 1982)The Market: K

22、ansas City Board of Trade.Trading Hours: 8:30 a.m. to 3:15 p.m., Central time.Contract Unit: $100 x Futures Price.Ticker Symbol/Quotation Symbol: MV.Delivery Months: March, June, September, December.Price Quotation: Index points.Minimum Price Fluctuation: .05 point ($5 per contract).Maximum Daily Pr

23、ice Fluctuation: There are no limits on the upside. For information on downside limits, click here.Speculative Position Limits: 5,000 contracts net long or short in all months combined.Delivery Mechanism: Since this is a cash settled contract, the Value Line Arithmetic Index value at the close of tr

24、ading on the last trading day will be used to settle all remaining open positions.Last Trading Day: The third Thursday of the month.First Notice Day: Not applicable (cash settled contract).First Delivery Day: Not applicable (cash settled contract).Final Settlement Price: Determined on the third Frid

25、ay of the contract month. A special quotation of the Value Line index based on the opening prices of the component stocks in the index.合约要素重点解释指数选择买卖性指数、非买卖性指数保证金.指数类型价钱加权型指数价值加权型指数不加权型指数.Price-weighted seriesA price-weighted series is an arithmetic average of current prices, which means that index

26、movements are influenced by the differential prices of the components.DJIADow Jones Industrial Averagecomponents are selected at the discretion of the editors of The Wall Street Journal the Dow Jones Industrial Average is not limited to traditionally defined industrial stocks. Instead, the index ser

27、ves as a measure of the entire U.S. market, covering such diverse industries as financial services, technology, retail, entertainment and consumer goods .Component companiesAlcoa Inc.American Express Co.AT&T Corp.Boeing Co.Caterpillar Inc.Citigroup Inc.Coca-Cola Co.E.I. DuPont de Nemours & Co.Eastma

28、n Kodak Co.Exxon Mobil Corp.General Electric Co.General Motors Corp.Hewlett-Packard Co.Home Depot Inc.Honeywell International Inc.Intel Corp. (Nasdaq NMS)International Business Machines Corp.International Paper Co.J.P. Morgan Chase & Co.Johnson & JohnsonMcDonalds Corp.Merck & Co. Inc.Microsoft Corp.

29、 (Nasdaq NMS)Minnesota Mining & Manufacturing Co.Philip Morris Cos.Procter & Gamble Co.SBC Communications Inc.United Technologies Corp.Wal-Mart Stores Inc.Walt Disney Co.CalculationThe Dow Jones Averages are unique in that they are price weighted rather than market capitalization weighted. .The adju

30、sted divisor Oct 12th ,2001, 0.14452124 .Nikkei-Dow Jones Average225 stocks on the first section of the TSEPrice-weighted indexComprise about 15% of all stocks on the first section .value-weighted series.Value-weighted indicesS&P seriesNYSE seriesNASDAQ seriesDow Jones Equity Market IndexWilshire 50

31、00 Equity Market indexRussel seriesFT seriesTOPIXMSCI.Unweighted Price indicator seriesAll stocks carry equal weight regardless of their price and/or their market value.Assume that equal dollar amounts are invested in each stocks in the portfolioBased on the average of the percent price changes for

32、the stocks in the index.Unweighted seriesValue line averages 1, industrial (geometric) 2,utilities 3,rails 4,compositeFT ordinary share index( Geometric).合约每点价值比较CME-S&P500 $250CBOT-DJIA $10KCBT-VALUE LINE $250LIFFE-FTSE100 GBP25EURES-DAX EURO25HKFE-HIS HK$50.01年6月合约乘数规定2001/6/8收盘合约价值美圆CMES&P 500250

33、美圆1268.00317，000CBOTDJIA10美圆10975109，750KCBTValue Line250美圆317.5079,375LIFFEFTSE-10025英镑5953.0205,527.3EUREXDAX25欧元6187.21131,710.23MATIFCAC4010欧元5939.9350,578.50SIMEXNK225500日元13430.2055,534.00KOFEXKOSDAQ50100,000韩元98.007632.40美圆HKFEH S I 50港元93.8096995美圆TAIFEXTAIEX200新台币8560.4455768美圆.特点每点价值很大程度决议

34、了合约规模以及投资者风险程度各国合约价值大小不一，差别较大欧美大于亚洲地域合约规模与现货市场规模相顺应.合约月份3、6、9、12季月方式 S&P500, DJIA,Value-line, FTSE-100,DAX,NIKKI225,KOSPI200, 以近期月份为主，加远期季月HIS,TAIEX,CAC40(3即期月，3季月.最小动摇价位S&P500 0.1POINT $25 DJIA 1 $10Value-line 0.05 $5Ftse-100 0.5 GBP5DAX 0.5 EURO5HIS 1 HK$50.涨跌停制度无涨跌停单向限幅弹性涨跌停固定涨跌停.例：CME指数期货涨跌停制度RU

35、LES for S&P 500, E-mini S&P 500, S&P MidCap 400, Russell 2000, E-mini Russell 2000 and S&P 500/Barra Growth & Value.5跌停报价一旦触及5跌停限幅，在10分钟内或芝加哥时间下午2：30以前，只能按高于或等于该价钱成交10分钟时或2：30，假设报价仍为跌停价，买卖暂停2分钟2分钟后实行10跌停限幅.10跌停限幅芝加哥时间下午1：30以前，假设报价触及10跌幅限制，那么只能是高于或等于该价位的委托成交；假设到达10跌停，且NYSE因DJIA到达10跌停而终止买卖，那么买卖暂停。直至SP

36、500成份股市值50以上股票恢复现货市场买卖后，股指期货买卖实行15跌幅限制。.下午1：30以后，假设期指报价触及10跌停，10分钟内只能成交该价钱以上委托。10分钟后，假设保盘仍维持跌停，那么暂停2分钟后实行15跌停.15跌停假设报价触及15跌幅限制，限幅维持10分钟，10分钟后假设继续跌停，实行20跌停限幅.20跌停底线.其他合约的涨跌停限制参见附件.保证金程度初始保证金维持保证金催交保证金保证金变动值保证金可以是债券.例：保证金CBOT股票指数期货保证金CME股票指数期货保证金.买卖时间一切期货市场买卖时间均覆盖现货市场，并且采取早开市或迟闭市，或同时采取两者的做法。最后买卖日不能推迟闭

37、市现货市场买卖时间变动时，期货市场买卖时间随之变动.每日结算价收盘价加权平均价.韩国期货买卖所KOFEX1996年5月3日在KSE开场KOSPI200指数期货买卖1998年7月韩国期货业对国外全面开放1999年4月23日正式开业1999年9月29日推出国债期货2000年12月，将KOSPI200指数期货从韩国证交所KSE转至KOFEX2001年1月30日推出KOSDAQ50指数期货.股指期货买卖买卖系统买卖时间报价清算买卖费用.买卖系统人工报价买卖PIT TRADING电子买卖GLOBALEX2.买卖时间全天候买卖？买卖时间覆盖问题.报价报价阅读报价差别？.QuotationOpenEndSe

38、ttlement priceOpen interestEstimated volumePrice change High and low.例：11月16日报价SP500大厅报价SP500电子买卖报价EMINISP500报价DJIA报价.买卖费用实际分析通常忽略买卖费用保证金构成买卖费用吗？买卖费用举例：CME.股票指数期货的运用单纯投机套利跨种类、跨市场、实际价、指数套利套期保值改动贝它系数.指数套利Index arbitragePension fundIndex fund.analysis securities return= systematic return + unsystematic

39、 return.Systematic v.s unsystematic riskLet We getThis called market model.Systematic v.s unsystematic riskSystematic risk equal to times the standard deviation of the market return Systematic risk unsystematic risk= With increasing diversification, the unsystematic risk of portfolio will approaches

40、 0 .Systematic risk of a portfolioOr .Hedging using index futuresDefine P: value of a portfolioA: value of assets underlying one futures contractContract needed:.Example某公司欲用2001年12月份S&P500期货合约为其持有的价值$2,100,000的股票保值.资产组合B=1.54月4日S&P报价见下表求需用的合约数.Changing Define the the object: contract number= Negati

41、ve means short and positive means long.股指期货定价金融工程方法1无风险套利定价金融工程方法2蒙特卡罗模拟金融工程方法3二叉树定价传统方法根本分析、技术分析.无风险套利定价.Continuous compoundingCompounding once per annum compounding m times per annum when m tends to infinite.Continuous compounding .Conversion Known compounding rate .When m=1 when continuous compou

42、nding rate is known.The effect of a known dividend yieldFor an investment asset providing a continuous dividend yield rate q is: .Proof Consider an investor adopting the following strategy: 1. Buy spot e-qt of the asset and reinvest income from the asset in the asset 2. Short a forward contract on o

43、ne unit of the asset.Result Initial cash out flow:Final inflow: F0No arbitrage opportunity require that the PV of inflow equal to the PV of outflowSo, or, .Example1 6 month long forward contract on a non-dividend-paying stock. The risk-free rate is 10% per annum, the stock price is $25, and the deli

44、very price is $24.What is the value of the forward contract?.discrete dividend yield If discrete dividends of q1,q2,.qn are expected between time zero and time T, we define:We can get the equivalent continuous dividend yield,q:.Practice 某股票的远期合约,合约期限6个月.股票现货价钱为$80该股票在第一个月和第四个支付红利,红利率分别为股票价钱的4%和5%无风险

45、利率(年延续复利)为6% 求: 该远期合约的实际价钱.蒙特卡罗模拟股票价钱指数的行为特征蒙特卡罗模拟的根本方法.Geometric Browning motionDiscrete form(11.7).几个变量的估算:以上证指数为例方法EWMA指数加权挪动平均GARCH(1,1)漂移率 0.3动摇率 0.2随机数 excel 或其他软件可以自动产生时间段： 0.01年.模拟6个月后的股价指数经过50步运算.上证指数模拟 模拟结果.二叉树模拟普通用于为期权定价假设推出指数期权，可以得到运用.技术分析与根底分析技术分析算命？优劣比较.Underlying assumptions of techni

46、cal analysisValues, and thus prices, are determined by supply and demandSupply and demand is driven by both rational and irrational behaviorSecurity prices move in trends that persist for long periods of timeWhile the cause for changes in supply and demand are difficult to determine ,the actual shif

47、ts in supply and demand can be observed in market price behavior.fundamental, technical, and the efficient market analysisFundamental analysts: believe that a securitys price is determined by the supply and demand for the underlying security based on its economic fundamentals such as expected return

48、 and risk.Fundamentalists believe they can forecast value changes by analyzing earnings data and publicly available data.Challenge to techniciansThe major challenge is the EMH. EMH thinks that all available information is impounded in the current security price. Thus , any new information will cause

49、 instantaneous price adjustments. Also, past technical relationship may not be repeated, technical rules required too much subjective interpretation, and decision variables change over time .Main differences among the three approachesThe speed at which these analysts believe news is impounded into p

50、rices. Technicians believe the reaction is slow, fundamentalists feel prices adjust quickly, and efficient market hypothesis analysts feel it happens almost instantaneous.Fundamentalists look for changes in the basis of value, which eventually leads to changes in the supply and demand for the stock.

51、 Technicians look for evidence of changes in supply and demand through market signals and indicators. EMH says all this looking is a hopeless and profitless exercise since prices will change instantaneously to information changes.valuetimeOld intrinsic valuePoint4:EMHPoint1:startPoint2:fundamentalis

52、tsPoint3:technicianNew intrinsic valueSupport levelResistance level.Advantages of technical analysisIts quick and easyIt does not involve messing with data and adjusting for accounting problemsIt incorporates psychological as well as economic reasons behind price changesIt tells when to buy; not why

53、 investors are buying.Challenges to technical trading rulesPrices do not move in trends based on statistical tests of autocorrelation and runs. That is , past price patterns may not be repeated in the future.If technical trading rules worked, the market would self-destruct. This is called the self-f

54、ulfilling prophecy.If a technical trading proved to be successful, others would copy it. As more traders implement the strategy, its value will be neutralizedInterpreting the rules is too subjective and the decision variables change over time. .Technical trading rules and indicatorsTwo broad classes

55、 1. General market movement indicators 2. Individual stock selection indicators( graphs and moving averages).General market rulesThe contrarian view: contrary-opinion technicians feel that everyone else is stupid, so they had better do the opposite of what investors are doing.Follow the smart money

56、view: technicians feel that smart investors know what they are doing, so the technicians had better “jump on the bandwagon while there is still time. .Contrarian viewMajority of investors are always wrongGreed/ panic view.A review of the contrarian viewpoint Optimism(start to buy)Greed(heavy buying)

57、Fear(holding)Panic sellingMarket cyclefeargreedoptimism.Indicators used by contrarianMutual fund cash positions(MFR) 13% bullish, 60% bullish 112% bearish0.50, market is bearish, so contrarian bullish=0.35, bearish.Futures traders bullish on stock index futuresWhen 75% or more of speculators are bul

58、lish, contrarians become bearish and sellWhen 25% or less of speculators are bullish, contrarians become bullish and buy .Indicators used by Smart money technicianConfidence index(CI)CI=(Barrons Average Yield on 10 top grade corporate Bonds)/Dow-Jones Average 40 BondsOr,CI=(quality bonds yields )/Av

59、erage Bond yields.In periods of confidence, yield spreads narrow and the CI gets bigger.T-bill Eurodollar yield spreadTechnicians reason that in times of international crisis this spread will widen as money flows to a safe haven in US T-Bills.Short sales by specialists specialist short sale ratio=(s

60、pecialists short sales)/(total short sales on the NYSE)50%bearish sign.Debit balances in brokerage accounts Increase: bullishDecreaseaa;bearish.Other market environment indicatorsBreadth of marketAdvance-decline line: a running total sum of the daily advances less the declines on the NYSE.If the adv