【出版时间及名称】:2010年3月日本衍生品研究报告
【作者】:摩根大通
【文件格式】:pdf
【页数】:31
【目录或简介】:
Market: The Nikkei 225 broke the 11,000 level intraday on Friday, only to end
slightly short, finishing the otherwise uneventful week at 10,996. What took the
index to higher grounds, despite the abysmal new home sales number out of the
US, was the apparent agreement reached by the EU leaders on the Greek debt
problem and the USD/JPY that leaped above the 92 level for the first time since
mid-January. The rising correlation suggests that the long-yield spread between
the US and Japan was the major culprit behind the move in the currency. As
expected, it was all export sectors that performed well on the week. Reflecting
the quiet week until Thursday, the Nikkei 225 3M skew and ATM term structure
were virtually unchanged on the week as of Mar 25.
• On Toraku ratio: The Toraku ratio drew our attention last week, as it reached
above 130 for the first time since June 2009. The Toraku ratio is the ratio of
market gainers against losers summed over time and is regarded as one of the
measuring sticks of "how overheated" the market is (a ratio of above 120 is
considered “overheated”). Since the ratio shows a pattern of mean-reversion, the
conjecture is that the indicator may be used as a buy-sell signal of the market.
We tested this conjecture this week.
• TSE to list dividend index futures: On March 23, the TSE announced that it
would list dividend index futures with July 26 as the likely listing date. The
dividend index futures will be available on The Nikkei Stock Average
Dividend Point Index (Nikkei 225 Dividend Index), TOPIX Dividend Index,
and TOPIX Core 30 Dividend Index. Preceding the announcement by the TSE,
the Nikkei had already announced the launch of The Nikkei Stock Average
Dividend Point Index, whose value will be calculated starting April. There will
be eight successive annual contracts whose last trading days fall on the last
business day in March of each year (SQ is the first business day of April). The
dividends are calculated for the calendar year from January 1 to December 31.
While the popularity of the futures is hard to fathom at present, the transparency
of the listed products will likely attract interest of investors that not only wish to
hedge the dividend risk of their portfolio but also actively participate in the
upside of the Japanese dividend, in our view.
• Nikkei dividend update: With the TSE slated to list dividend futures, this may
be as good time as any to offer a brief Nikkei dividend update. As we expected,
we see forecast dividends (both Bloomberg consensus and Toyo Keizai
estimate) edging up and indicative dividend swap levels on the continuously
upward trajectory.