Capitalization Indices
MICEX Stock Exchange calculates 3 capitalization indices that cover 95 largest Russian companies ranked by issuers' market capitalization in three different size ranges:
- MICEX LC (MICEX Large Cap Index) √ comprises largest 15 stocks
- MICEX MC (MICEX Mid Cap Index) √ comprises next largest 30 stocks
- MICEX SC (MICEX Start Cap Index) √ comprises next largest 50 stocks
Capitalization Indices are reviewed quarterly, on January 15, April 15, July 15 and October 15 on basis of previous quarter data. Stock selection procedure for the Capitalization Indices is based on the issuer numbers in joint ranking by composite criterion (in descending order):
where:
Ri √ composite criterion value for a stock i;
Capi √ market capitalization of an issuer of a stock i which is determined by multiplying the number of freely available shares of common and preferred stocks by the respective market price of a stock at the end of a quarter;
Vi √ turnover in a common stock i defined as the sum of volumes traded at the MICEX SE for a stock within the preceding quarter.
Existing MICEX LC constituents remain in the index if they are ranked within 18th position or higher. If a stock comprised in MICEX LC is ranked at 19th position or lower it will be moved to MICEX MC. If a stock ranked at 12th position or higher is not a MICEX LC constituent it is to be included in the index.
Existing MICEX MC constituents will be moved to the MICEX LC if they are ranked within 12th position or higher. If they are ranked from 19th to 54th positions they remain in MICEX MC. If a stock comprised in MICEX MC is ranked at 55th position or lower it will be moved to MICEX SC. If a stock is ranked at 40th position or higher is not a MICEX MC constituent (excluding MICEX LC constituents) it is to be included in the index.
Existing MICEX SC constituents will be moved to the MICEX MC if they are ranked within 40th position or higher. If they are ranked from 55th to 109th positions they remain in MICEX SC. If a stock comprised in MICEX SC is ranked at 110th position or lower it is to be deleted from the index. If a stock ranked at 85th position or higher is not a MICEX SC constituent (excluding MICEX LC and MICEX MC constituents) it is to be included in the index.
The special transition areas arising in selection algorithm needed to maintain the stability of the indices by reducing the index composition changes.
Extraordinary review to the Capitalization Index composition have to be performed if a stock no longer shows required free-float level or the trading of a stock has been suspended. If a stock is suspended, it may remain in Capitalization Index at the price at which it was suspended for up to 3 business days. If a corporate action is applied to a stock which involves a change in the number of shares in issue the change in shares will be applied in 3 business days.
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MICEX Indices
