The comprehensive aerospace index (CASI): Tracking the economic performance of the aerospace industry
- Autori: Mattedi, A.; Mantegna, R.; Ramos, F.; Rosa, R.
- Anno di pubblicazione: 2008
- Tipologia: Articolo in rivista
- OA Link: http://hdl.handle.net/10447/17618
In this paper, we described the Comprehensive Aerospace Index (CASI), a financial index aimed at representing the economic performance of the aerospace industry. CASI is build upon a data set of approximately 20 years of daily close prices set, from January 1987 to June 2007, from a comprehensive sample of leading aerospace-related companies with stocks negotiated on the New York Exchange (NYSE) and on the over-the-counter (OTC) markets. We also introduced the sub-indices CASI-AERO, for aeronautical segment, and CASI-SAT for satellite segment. and considered the relation between them. These three indices are compared to others aerospace indices and to more traditional general financial indices like DJIA, S&P500 and Nasdaq. Our results have shown that the CASI is an index that describes very well the aerospace sector behavior, since it is able to reflect the aeronautical segment comportment as well as the satellite one. Therefore, in this sense, it can be considered as a representative index of the aerospace sector. Moreover, the creation of two sub-indices, the CASI-AERO and the CASI-SAT. allows to elucidate capital movements within the aerospace sector, particularly those of speculative nature, like the dot.com bubble and crash of 1998-2001.