Financial Time Series Toolbox

Create Closing Prices Adjustment Series

The price of a stock price is affected by the dividend payment. On the day before the dividend payment date, the stock price reflects the amount of dividend to be paid the next day. On the dividend payment date, the stock price is decreased by the amount of dividend paid. Create a time series that reflects this adjustment factor:

• dadj1       = d0;
  dadj1.dates = dadj1.dates-1;
  

Now create the series that adjust the prices at the day of dividend payment; this is an adjustment of 0. You also need to add the previous dividend payment date since the stock price data reflect the period subsequent to that day; the previous dividend date was December 31, 1998:

• dadj2             = d0;
  dadj2.Dividends   = 0;
  dadj2             = fillts(dadj2,'linear','12/31/98');
  dadj2('12/31/98') = 0;
  

Combining the two objects above gives the data needed to adjust the prices. However, since the stock price data is daily data and the effect of the dividend is linearly divided during the period, use the fillts function to make a daily time series from the adjustment data. Use the dates from the stock price data to make the dates of the adjustment the same:

• dadj3 = [dadj1; dadj2];
  dadj3 = fillts(dadj3, 'linear', t0.dates);
  

Create Financial Time Series Objects

Adjust Closing Prices and Make Them Spot Prices