The Methodology of the Moscow Exchange Indices Calculation to have been registered
On December 13, 2012 the FFMS of the Russian Federation registered the Methodology of the Moscow Exchange Indices Calculation approved by the Directorate of the CJSC MICEX Stock Exchange on November 14, 2012 and by the Executive Board of the Moscow Exchange on November 16, 2012. The new Methodology establishes the procedure for calculation of the MICEX and the RTS Indices. It was elaborated in line with the principle of the Moscow Exchange"s unified Index family.
According to the new Methodology:
- The MICEX Index and the RTS Index are calculated based on the unified list of constituents including the fifty most capitalized stocks and outstanding stocks which meet the requirements of the relevant liquidity level;
- Both Indices shall be calculated by a single formula. By this formula Index components are weighted according to their market capitalization. The well-known index divisor approach shall be applied to meet the needs of the users who employ electronic systems for calculation and trading
- The principle of continuity shall be applied to calculation of the MICEX Index and the RTS Index values. That means that when the transfer to the new formulae takes place, the character of the Index dynamics will remain unchanged, because such parameter values shall be taken for calculation of the Indices which will prevent any Index fluctuations during the transfer. The columns of the Indices values will continue running from the points as of the day before the transfer to the new methodology.
- The Indices values shall be published every second.
- The last trade prices shall be used for calculation of the Indices. This principle will enable the users to independently verify the Indices calculation based on the data available through the terminals of various information agencies disseminating the market data.
The effective date of the Methodology of the Moscow Exchange Indices Calculation will be announced later.
The text of the Methodology is available here.
For further information, please contact the Public Relations Department at (495) 363-3232.