The Stock Exchange of Thailand (SET) will modify criteria on the selection of SET50 Index and SET100 Index constituents by considering trading volume of each individual stock in addition to the current methodology, effective from the June 2015 periodic review onwards. SET will also improve the calculation of its total return index (TRI) starting from July 1, 2015 onwards.
SET Executive Vice President Santi Kiranand stated that SET would modify the selection criteria for SET50 Index and SET100 index constituents. This modification would take into account the individual stock’s turnover ratio or the number of traded shares compared to its total listed shares. It would be added to the current criteria where stock trading value compared to the average value of the market was used. The new criteria would be effective from periodic review of June 2015 onwards.
“SET has studied index methodology from various leading stock exchanges and index providers as well as taken views from many index-users into consideration for this index review. SET intends to ensure tradability of SET50 Index and SET100 Index constituents. Therefore, the new criteria will have one more factor which is the stock turnover ratio, while the existing factors namely individual stock’s market capitalization, free float and its trading value, are still being used, as SET’s current practice is comparable with those of other markets,” Santi said.
Constituents of SET50 Index and SET100 Index will be selected from the top 200 stocks in terms of market capitalization. The stocks’ free float must be at least 20 percent. Each individual stock trading value must be at least 50 percent of average market trading value per stock for at least 9 out of the 12 months and its traded shares must be at least 5 percent of its total listed shares in the same month. However, SET may reduce the percentage of average trading value, the number of months, or the percentage of traded shares in order to have at least 105 eligible stocks.
“In addition, SET will improve the calculation of SET’s TRI which is used to measure all returns from securities investment, both capital gain and dividend. The change of daily price index will be used as the indicator of capital gain, in line with the common practice used internationally, instead of daily change of market capitalization. It will also make TRI in line with price index. The new TRI calculation will be effective on July 1, 2015,” added Santi.
For more details, please find the criteria from the “Ground Rules for SET Index Series” (revised version) via www.set.or.thor contact SET Contact Center via tel. 0 2229 2222.
