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Stock Index Methodology

In: Other Topics

Submitted By vksinghal
Words 4263
Pages 18

Security Analysis & Portfolio Management – SML 873
Self Study Component – II
(methodologies adopted across the globe for calculating Stock Index)

Echo Group
Russian Trading System (RTS) Stock Exchange

1. Eligibility Factors

2.1. Market Capitalization 2.2.1. A stock’s weight in an index is determined by the float-adjusted market capitalization of the stock 2.2.2. Each company’s market capitalization is capped at 15% in the RTSI and RTS2, and at 25% in the RTS Sector Indices, to restrict the weight of any one company dominating the entire index.

2.2. Liquidity: Securities that do not meet the following criteria over the three month period preceding the date of the revision are excluded from the index eligibility list 2.3.3. The average number of companies-brokers that submitted the “bid” and “ask” quotes for the security at the end of the trading session is at least two. 2.3.4. 2. The average spread between the “ask” and the “bid” prices at the end of the trading session is less than or equal to 15%, as compared to the buying price. 2.3.5. 3. The security should have two-sided quotes in the trading system at the end of the trading session for at least 90% of the trading days of a given period. 2.3.6. 4. The daily average number of transactions in this security is greater than or equal to 0.5. 2.3.7. 5. The daily average trading volume in this security is greater than or equal to US$ 3,000

2.3. Domicile. 2.4.8. Only stocks of a Russian domicile are eligible to be included in the index 2.4.9. A stock’s domicile is based on a number of criteria that include headquarters of the company, registration, listing of stock, place of operations, and residence of the senior...

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