Security Influence on an Index

Parameter Description

The Index, as the aggregate parameter, reflects the average change of the prices of securities included in its calculation base. The change in the index value is the objective parameter that characterizes the current situation on the stock market. However, due to differences in capital levels of certain securities and differences in the character of their price dynamics, the “contribution” of a certain security to the change of an index at various points in time can vary substantially. Therefore, in order to provide better index information, a parameter characterizing the influence of a certain security on an index is calculated. The influence parameter is calculated daily at the close of trading on the MICEX SE CJSC.

Calculation Methodology

The influence parameter of a certain security on the index is calculated in accordance with the formula:

Where:

Designations:

Inf _l – is the influence of the L-th security included in the index calculation base, expressed in percent;
Cap^k_i – is the market capital of the i-th security on the date of index calculation;
P^k_i – is the price of the i-th security included in the index calculation base used when calculating the relevant index, as of the end of the k-th trading day;
Q^k_i – is the quantity of issue of the i-th security (in pieces);
W^k_i – is the weighting coefficient (only used when calculating the security influence parameter on the MICEX Index);
FF^k_i – is the portion of security capital that is freely circulating in the derivatives market (only used when calculating the ratio of shares constituting the MICEX Index calculation base);
M – is the total number of securities included in the Index calculation base.

Methodology for Calculating Analytical Parameters (In Russian)