[] [1] [2] [3] [4] [5] [6] [7] [8] [9] [10] [11] [12] [13] [14] [15] [16] [17] [18] [19] [20] [21] [22] [23] [24] [25] [26] [27] [ 28 ] [29] [30] [31] [32] [33] [34] [35] [36] [37] [38] [39] [40] [41] [42] [43] [44] [45] [46] [47] [48] [49] [50] [51] [52] [53] [54] [55] [56] [57] [58] [59] [60] [61] [62] [63] [64] [65] [66] [67] [68] [69] [70] [71] [72] [73] [74] [75] [76] [77] [78] [79] [80] [81] [82] [83] [84] [85] [86] [87] [88] [89] [90] [91] [92] [93] [94] [95] [96] [97] [98] [99] [100] [101] [102] [103] [104] [105] [106] [107] [108] [109] [110] [111] [112] [113] [114] [115] [116] [117] [118] [119] [120] [121] [122] [123] [124] [125] [126] [127] [128] [129] [130] [131] [132] [133] [134] [135] [136] [137] [138] [139] [140] [141] [142] [143] [144] [145] [146] [147] [148] [149] [150] [151] [152] [153] [154] [155] [156] [157] [158] [159] [160] [161] [162] [163] [164] [165] [166] [167] [168] [169] [170] [171] [172] [173] [174] [175] [176] [177] [178] [179] [180] [181] [182] [183] [184] [185] [186] [187] [188] [189] [190] [191] [192] [193] [194]


28

. -11:

/

/ / -

: 1928 - 1987

1

3

6

12

-0.450

-0.235

1

-0.235

-0.178

-0.178

-0.140

-0.140

-0.108

-0.108

-0.082

-0.082

-0.059

-0.059

-0.038

-0.038

-0.017

-0.017

0.005

0.005

0.024

1

0.024

0.039

0.039

0.055

0.055

0.074

0.074

0.094

0.094

0.116

0.116

0.135

0.135

0.156

0.156

0.186

0.186

0.237

0.237

0.538

« », «», « », «», « », «», « » .



/ /

S&P 500

1

3

12

6

1947

0.25

, 13

11.09

1948

0.27

1.56

1949

0.26

12.92

1950

0.25

26.18

1950

0.26

13. 60

1954

0.25

36. 68

1958

0.27

34.26

1962

0.27

, 92

22.45

1962

0.26

24.02

1967

0.27

14.42

1970

0.26

, 96

23.26

1970

0.27

, 95

7.47

1971

0.28

21.32

1973

0.25

-10,

-13,

-38.05

1975

0.26

33.54

1976

0.27

14.40

1982

0.27

40.86

1985

0.25

18.43

17 . 69

/ (Advance/Decline Ratio)

/ . , NYSE. (momentum), /- .

/ , , . , , . . , 1.25, (), 0.75, ().

/ 1928 1987. ,

. -12:

/ : 0.25 1947-1986



. -13:

/

/ - : 1928 - 1987

1

3

6

12

0.000

0.226

0.226

0.349

0.349

0.450

0.450

0.540

0.540

0.638

0.638

0.722

0.722

0.805

0.805

0.883

0.883

0.968

0.968

1.052

1.052

1.142

1.142

1.244

1.244

1.360

1.360

1.493

1.493

1.655

1.655

1.857

1.857

2.153

2.153

2.629

2.629

2.653

3.653

39.111

« », «», « », «» « », «», « » .

, 10 . . -13 - -16 (. 84-87).

. , , 20 . (1 , 3 , 6 12 ). ( - ) ( Standard & Poors 500). .

, , . / / . ,

[] [1] [2] [3] [4] [5] [6] [7] [8] [9] [10] [11] [12] [13] [14] [15] [16] [17] [18] [19] [20] [21] [22] [23] [24] [25] [26] [27] [ 28 ] [29] [30] [31] [32] [33] [34] [35] [36] [37] [38] [39] [40] [41] [42] [43] [44] [45] [46] [47] [48] [49] [50] [51] [52] [53] [54] [55] [56] [57] [58] [59] [60] [61] [62] [63] [64] [65] [66] [67] [68] [69] [70] [71] [72] [73] [74] [75] [76] [77] [78] [79] [80] [81] [82] [83] [84] [85] [86] [87] [88] [89] [90] [91] [92] [93] [94] [95] [96] [97] [98] [99] [100] [101] [102] [103] [104] [105] [106] [107] [108] [109] [110] [111] [112] [113] [114] [115] [116] [117] [118] [119] [120] [121] [122] [123] [124] [125] [126] [127] [128] [129] [130] [131] [132] [133] [134] [135] [136] [137] [138] [139] [140] [141] [142] [143] [144] [145] [146] [147] [148] [149] [150] [151] [152] [153] [154] [155] [156] [157] [158] [159] [160] [161] [162] [163] [164] [165] [166] [167] [168] [169] [170] [171] [172] [173] [174] [175] [176] [177] [178] [179] [180] [181] [182] [183] [184] [185] [186] [187] [188] [189] [190] [191] [192] [193] [194]