Polish Traded Index
The Polish Traded Index (PTX) belongs to a family of currently five indexes owned by the Vienna Stock Exchange (the so-called CECE Index family) that covers the emerging stock markets of the four Višegrad countries (Czech Republic, Hungary, Poland, Slovak Republic). In contrast to the WIG/WIG20 indexes, the PTX is not primarily intended to qualify as a benchmark for the performance of the Polish stock market, but is well correlated to the local indexes. Its foremost purpose is to serve as an underlying for derivatives trading. Therefore the main emphasis lies on ensuring the tradability of each component stock and on preserving the replicability of the PTX. Correspondingly, the PTX comprises a sample of only 16 Polish blue chip stocks, which represent a basket of both relatively liquid and sufficiently tradable stocks.
Like the other members of the CECE Index family, the PTX has been constructed as a capitalization-weighted value ratio with daily chaining. Similar to the Austrian Traded Index (ATX), the PTX incorporates stock-specific free float factors which are intended to ensure that the weight of a particular stock in the index roughly corresponds to the fraction of the registered capital that is actually available for public trading on the stock exchange. These free float factors are set to 0.5 for stocks with a free float equal to or less than 50% and to 1 otherwise.
Given the rather narrow sample of index constituents, due to the disproportionate distribution of firm sizes, it was considered indispensable to amend the basic formula by yet another stock-specific correction factor. The so-called representation factor is currently applied in the case of seven companies (Bank Slaski, Elektrim, BPH, Zywiec, WBK, BRE, Bank Handlowy), whose high market capitalization would otherwise unduly distort the representativeness of the index. The inclusion of representation factors is considered as temporary until a broader index base sufficiently diminishes the weight of individual component stocks. The representation factor assumes a value of 0.5 such as to reduce the accountable market capitalization of a certain company by 50%.
Since the PTX is intended to reflect price changes that are caused by market fluctuations, the index is adjusted for technical price changes except for those due to dividend payments. If a stock is suspended from trading, the last available price is used for calculating the index.
Polish Traded Index PTX: Wiener Börse AG (Vienna Stock Exchange). Text: Institute for Advanced Studies, Vienna, 1998. All rights reserved.
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