Milan Italy Stock Exchange 30 Index
The MIB-30 is a capitalization-weighted index of the Laspeyres type. Being based on the 30 leading stocks, that is, the most liquid and most highly capitalized stocks listed on the Italian Stock Exchange, the sample of index stocks accounts for over 70% of the total market capitalization and about 75% of total trading volume. Moreover, the MIB 30 is highly correlated with the Mibtel Index, the general share index. Due to its high degree of representativeness, the MIB-30 has been selected as underlying for two stock index derivatives products traded on the Italian Derivatives Market IDEM.
The stocks to be included in the index sample are selected according to the following procedures:
The composition of the index sample is regularly revised twice per year, usually in March and September. Extraordinary revisions are possible whenever they are considered necessary, in particular in the case of stock splits as well as new listings with a market capitalization exceeding 3% of the entire market capitalization including the new stock. Since there are no provisions to limit the eligible market capitalization of a single stock to a certain maximum fraction of the aggregate market capitalization of the index sample, the stocks of ENI, a public utility that has been privatized in several stages since November 1994, ranks first in terms of market capitalization with a weight of 16.55% in the index.
- For each domestic stock the average market capitalization and the average trading volume are calculated for a six-month-period ending 15 days before the update of the index sample.
- The same ratio is calculated for the entire market called "market alpha".
- To reflect both market capitalization and turnover in a single summary measure called indicator of liquidity and capitalization, the ILC is computed.
- From an ordering of stocks according to their ILC the top 30 stocks are selected for inclusion in the index. If a company has issued more than one class of stock, only the class with the highest ILC is allowed in the index.
Stocks may be withdrawn from the index sample between two consecutive revisions in the case of
- de-listings of the stock,
- suspensions from trading for more than 10 trading sessions, and
- other events which make it reasonably certain that the stock has lost liquidity and/or market value.
In these cases replacements are made drawing upon the stocks with the next highest ILC as calculated for the last regular revision, and the weights of the individual index stocks are adjusted accordingly.
In contrast to the MIB-30, the MIB and the MIBTEL are open based indexes, that is, whenever considered appropriate stocks are added to or removed from the index sample.
Milano Italia Borsa 30 Index (Milan Italy Stock Exchange 30), Borsa Italiana Spa (Italian Stock Exchange). Text: Institute for Advanced Studies, Vienna, 1998. All rights reserved.
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