Neptune Orient Lines Ltd and Keppel Corp Ltd
are the most correlated stocks among the index
constituents during market declines, Thomson Reuters
data shows.
The down beta based on weekly price movements of the Straits
Times Index and index stocks over the last three years,
shows Neptune and Keppel have a down beta score of 1.80 and 1.54
respectively.
This suggests these stocks tend to fall more versus other
index constituents during market slumps.
Down beta is the volatility of a stock relative to the local
index when the index declines.
Singapore Technologies Engineering Ltd and Starhub
Ltd have the lowest down beta score of 0.30 and 0.45
respectively, suggesting the stocks are more resilient during a
decline in the index.
Table of Top 5 weekly down beta and bottom 5 weekly down
betas over the past three years.
Top 5 down beta Down beta Bottom 5 down beta Down beta
Neptune 1.8 ST Engineering 0.3
Keppel 1.54 Starhub 0.45
Noble 1.41 SIA Engineering 0.51
Sembcorp Marine 1.39 Singapore Press 0.53
Global Logistic* 1.37 Comfortdelgro 0.64
*Global Logistic listed in the market in 2010.
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