For comparing and measurement of the market’s performance, some rulers are needed, in stock markets different indices are published, indices contain many different important points which can help investors in order to choose the best options for them. Different indices of Tehran Stock Exchange (TSE) are defined as follows:
Since March 1990, TEPIX index has been published and its formula is as below:
pit: Price of i th company in time t
qit: Number of shares of i th company in time t
Dt: Base number in time t which in the initial time is equal to
pi0: Price of i th company in initial time
qi0: Number of shares of i th company in initial time
n: Number of companies which are included in the index
TEPIX index contains of all companies of TSE, if a company is halted, the last closed price will be considered for calculation of index. As seen in the above formula, the criteria of weighting it, is the number of shares of each company therefore big companies have more impact on it.
Companies listed on TSE are classified to 36 industries by using ISIC codification. TSE calculates price index for each industry by using a unified model.
50 more active companies Index:
This index shows the general price level of 50 more active companies, it is calculated by two different ways. I) simple average. II) Weighted average which is same as TEPIX.
TSE select more active companies from the ones which are more liquid and have been traded more.
Total income index or price and dividend index is TEDPIX, it is calculated since March 1998. Weighting of TEDPIX is like TEPIX, the only difference is summing up the dividends of companies with prices in TEDPIX. TEDPIX formula is:
pit: price of i th company in time t
qit: number of shares of i th company in time t
RDt: Base number in time t which in the initial time is equal to
Dividend return index is TEDIX which shows the general dividend return of companies, it is calculated by dividing the base of TEPIX to the base of TEDPIX as follows:
Multiplying by 1653.80 and this is because other sources used to calculate TEDIX rather than TSE and when TSE started to publish TEDIX, they continue from last record.
Companies selection for being included in TEFIX Index is based on market value of free float shares, volume of trades, liquidity and the comment of observer committee.
For selecting shares which are included in the TEFIX calculation, stocks with below conditions must be eliminated:
- New listed companies (less than 6 months), investment companies and their affiliated.
- Companies which their mother company has not been eliminated in step one.
After filtering from above steps, by multiplying market value ratio, trading ratio and liquidity ratio a product will be emerge for each company, then the 50 more active companies will be selected from the highest ones.
Finally, the comments of observer committee define which companies will be included for calculating TEFIX.
TEFIX’s formula is as follows:
At: market value of free float shares for all companies listed in TEFIX index
In fact, price of each share (Pj) is multiplied by number of outstanding shares (Qj) then multiply by the free float rate (Fj), after that the results for all companies in TEFIX sum up.
Bt: base number for index
Base number in the first day is equal to market value of free float shares of that day. So B0=Ao