BSE-100 Index
Introduction
A broad-based index, the BSE-100 was formerly known as the BSE National index. This Index has 1983-84 as the base year and was launched in 1989. In line with the shift of the BSE Indices to the globally accepted Free-Float methodology, BSE-100 was shifted to Free-Float methodology effective from April 5, 2004. The method of computation of Free-Float index and determination of free-float factors is similar to the methodology for SENSEX.
Base Year
The financial year 1983-84 has been chosen as the base year. The price stability during that year and proximity to the index series were the main consideration for choice of 1983-84 as the base year. The base value was fixed at 100 points.
Dollex-100
BSE also calculates a dollar-linked version of SENSEX and historical values of this index are available since its inception. (For more details click 'Dollex series of BSE indices')
BSE-100 index - Scrip Selection Criteria
1. Equities of companies listed on Bombay Stock Exchange Ltd. (excluding companies classified in Z group, listed mutual funds, scrips suspended on the last day of the month prior to review date, scrips objected by the Surveillance department of the Exchange and those that are traded under permitted category) shall be considered eligible
2. Listing History: The scrip should have a listing history of at least 3 months at BSE. An exception may be granted to one month, if the average free-float market capitalization of a newly listed company ranks in the top 10 of all companies listed at BSE. In the event that a company is listed on account of a merger / demerger / amalgamation, a minimum listing history is not required.
3. The scrip should have been traded on 95% of the trading days in the last three months. Exceptions can be made for extreme reasons like scrip suspension etc
4. From the list of constituents selected through Steps 1-3, the top 150 companies based on free-float market capitalisation (avg. 3 months) are selected as well as any additional companies that are in the top 150 based on full market capitalization (avg. 3 months).
5. The filtered list of constituents selected through Step 4 (which can be greater than 150 companies) is then ranked on absolute turnover (avg. 3 months).
6. Any company in the filtered, sorted list created in Step 6 that has Cumulative Turnover of >99%, are excluded,
7. The remaining companies are then sorted based on whether they are an existing member of the BSE-100 constituents and then on free-float market capitalization.
8. Industry/Sector Representation: Scrip selection will generally attempt to maintain index sectoral weights that are broadly in-line with the overall market.
9. Track Record: In the opinion of the BSE Index Committee, all companies included within the index should have an acceptable track record.
Background
Over the years, the number of companies listed on BSE continued to register a phenomenal increase; from 992 in to over 3,200 companies by March 1994, with combined market capitalization rising from Rs.5,421 crore to Rs. 3,98,432 crore as on 31st March, 1994.
Though SENSEX (1978-79=100) was serving the purpose of quantifying the price movements as also reflecting the sensitivity of the market in an effective manner, the rapid growth of the market necessitated compilation of a new broad-based index series reflecting the market trends in a more effective manner and providing a better representation of the increased equity stocks, market capitalization as also to the new industry groups. As such, BSE launched on 27th May 1994, two new index series-BSE-200 and Dollex-200.
The equity shares of 200 selected companies from the specified and non-specified lists of BSE were considered for inclusion in the sample for `BSE-200'. The selection of companies was primarily been done on the basis of current market capitalization of the listed scrips. Moreover, the market activity of the companies as reflected by the volumes of turnover and certain fundamental factors were considered for the final selection of the 200 companies.
Choice of Base Year
The financial year 1989-90 was chosen as the base year because of the price stability exhibited during that year and due to its proximity to the current period.
Dollex-200
BSE also calculates a dollar-linked version of BSE-200 index and historical values of this index are available since its inception. (For more details click 'Dollex series of BSE indices')
BSE-200 index - Scrip Selection Criteria
1. Equities of companies listed on Bombay Stock Exchange Ltd. (excluding companies classified in Z group, listed mutual funds, scrips suspended on the last day of the month prior to review date, scrips objected by the Surveillance department of the Exchange and those that are traded under permitted category) shall be considered eligible
2. Listing History: The scrip should have a listing history of at least 3 months at BSE. An exception may be granted to one month, if the average free-float market capitalization of a newly listed company ranks in the top 10 of all companies listed at BSE. In the event that a company is listed on account of a merger / demerger / amalgamation, a minimum listing history is not required.
3. The scrip should have been traded on 90% of the trading days in the last three months.
4. All remaining companies are then ranked on average full market capitalisation, average free-float market capitalisation and average turnover for preceding 3 months
5. A Final Rank is calculated giving weightage of 75% to rank on market capitalisation (full & free-float separately) and 25% to rank on turnover
6. A Combined Final Rank is calculated by taking the summation of final rank based on full market capitalization and final rank based on free-float market capitalization.
7. Exclude all constituents with Final Rank beyond 220 based on full & free-float market capitalization
8. Include all companies with (a) Free Float Final Rank and Full Final Rank within 200; and (b) superior combined final rank to the extent of total exclusions
9. In case of any short-fall for inclusion, select companies with (a) Free Float Final Rank and Combined Final Rank within 200; and (b) superior combined final rank
10. In case of further short-fall for inclusion, select companies with (a) Full Final Rank and Combined Final Rank within 200; and (b) superior combined final rank
11. Any further short-fall shall be filled-up by including companies based on combined final rank
Dollex Series of BSE Indices
All BSE indices reflects the growth in market value of constituent stocks over the base period in Rupee terms. A need was felt to design a yardstick by which these growth values are also measured in Dollar terms. Such an index would reflect, in one value, the changes in both the stock prices and the foreign exchange variation.
This was facilitated by the introduction of a dollar-linked index in which the formula for calculation of index is suitably modified to express the current and base market values in dollar terms. The scope for dollar-linked index emerged from the background of Indian equity markets increasingly getting integrated with global capital markets and the need to assess the market movements in terms of international benchmarks. The dollar-linked indices are useful to overseas investors, as it helps them measure their 'real returns' after providing for exchange rate fluctuations.
Dollex-30, a dollar-linked version of SENSEX, was launched on July 25, 2001 whereas Dollex-200, a dollar-linked version of BSE-200 was launched on May 27, 1994. These indices were initially calculated at the end of the trading session by taking into consideration day's rupee/ US$ reference rate as announced by India 's Central Bank i.e. Reserve Bank of India.
BSE introduced Dollex-100, a dollar linked version of BSE-100, on May 22, 2006.
Dollex-30, Dollex-100 and Dollex-200 are calculated and displayed through BSE On-line trading terminals (BOLT) by taking into account real-time Re./US$ Exchange rate. The formula for calculating the index is:
| Dollex = | Index Value (In local currency) * Base rupee-US$ rate |
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| Current rupee-US$ rate |
BSE-500 Index
Bombay Stock Exchange Limited constructed a new index, christened BSE-500, consisting of 500 scrips w.e.f. August 9, 1999. The changing pattern of the economy and that of the market were kept in mind while constructing this index.
BSE-500 index represents nearly 93% of the total market capitalization on BSE. BSE-500 covers all 20 major industries of the economy. In line with other BSE indices, effective August 16, 2005 calculation methodology was shifted to the free-float methodology.
Selection of the Base Year and Base Index Value:
The base date was fixed after a detailed analysis of the relative volatility of BSE-200, the index closest to BSE-500, over the last 8 years. The coefficient of variation of BSE-200 for 1998-99 was one of the lowest in this period. Hence, 1998-99 was chosen as the base year, and within this, February 1, 1999 was selected as the base date for its proximity to the current period. The base value was fixed at 1000 points in order to keep the index comparable with other similar indices.
BSE-500 index - Scrip Selection Criteria:
1. Equities of companies listed on Bombay Stock Exchange Ltd. (excluding companies classified in Z group, listed mutual funds, scrips suspended on the last day of the month prior to review date, scrips objected by the Surveillance department of the Exchange and those that are traded under permitted category) shall be considered eligible
2. The scrip should have been traded on 75% of the trading days in the last three months.
3. Rank all companies on average full market capitalisation, average free-float market capitalisation and average turnover for preceding 3 months
4. Calculate final rank giving weightage of 75% to rank on market cap. (full & free-float separately) and 25% to rank on turnover
5. Calculate combined final rank by taking summation of final rank based on full & free-float market capitalization
6. Exclude all companies with final rank beyond 550 based on full & free-float market capitalization
7. Include all companies with (a) FF final rank and Full final rank within 500; and (b) superior combined final rank to the extent of total exclusions
8. In case of any short-fall for inclusion, select companies with (a) FF final rank and combined final rank within 500; and (b) superior combined final rank
9. In case of further short-fall for inclusion, select companies with (a) Full final rank and Combined final rank within 500; and (b) superior combined final rank
10. Any further short-fall shall be filled-up by including companies based on combined final rank
BSE IPO Index
Introduction
BSE introduced the new index series - BSE IPO index to track the current primary market conditions in the Indian capital market and measure the growth in investor’s wealth within a period of two years after listing of a company subsequent to successful completion of initial public offering (IPO).
Robust growth of the Indian economy, 6.7% in 2008-09, and the expectation of higher growth in the future are expected to boost the primary market. For this and other reasons, it was an appropriate time to introduce to the market an indicator that will track primary market conditions in the Indian capital market.
BSE on August 24, 2009 announced the launch of BSE IPO index to track the value of companies for two years after listing subsequent to successful completion of their initial public offering (IPO).
BSE continued to introduce index innovations with the launch of the IPO index, by introducing ceiling (capping) on weightings of index constituents. Market capitalisation weightings of index constituents is limited to 20%. If a constituent’s market capitalization results in a higher weighting, the company’s weight is suitably adjusted to ensure that all constituents are restricted to 20% in the index. However, between any rebalancing, weightage of any index constituent can exceed 20%.
Criteria governing BSE IPO Index:
- Company seeking listing on the Exchange after completion of IPO shall be considered eligible for inclusion in the index. Follow-on public issue shall be considered ineligible for inclusion in the index
- A scrip must have minimum free-float market capitalisation of Rs. 100 crores on first day of listing
- A scrip will be included in the index on third day of its listing subject to fulfillment of minimum free-float market capitalisation criteria stated above
- A scrip will be excluded from the index on second Monday of the month after completion of two years of listing
- At all time minimum of 10 scrips shall be maintained in the index. In case, there are less than 10 companies on account of possible exclusion after two years, the exclusion of such company shall be delayed till such time new inclusion is made in the index
- Maximum weight of any scrip shall be capped at 20%. The constituent weightage shall be reviewed at the time of inclusion/ exclusion of a scrip and on monthly rebalancing. However, between any rebalancing, weightage of any index constituent can exceed 20%
BSE TECk Index
Introduction
The decade of 1990s saw the emergence of the TMT sector as a major force in the Indian economy. The remarkable growth of this sector was reflected in the financial markets.
Going by the trading pattern, around 19% of the turnover on the stock exchanges is taking place in TMT sector stocks. These stocks collectively account for 15% of the total market capitalization. The investment interest in technology stocks continues unabated.
Recognizing the growing importance of the TMT sector, BSE TECk index was launched in 2001.
Scrip Selection Criteria for BSE TECk Index
Eligible universe
Scrips classified under information technology, media and telecom sectors that are present constituents of BSE-500 index form the eligible universe.
Trading Frequency
Scrips should have a minimum trading frequency of 90% in preceding three months.
Market capitalization
Scrips with a minimum of 90% market capitalization coverage in each sector based on free-float final rank form the index.
Buffers
A buffer of 2% both for inclusion and exclusion in the index is considered so that movements in and out of the index are minimized. For example, a company can be included in the index only if it falls within 88% coverage and an existing index constituent cannot be excluded unless it falls above 92% coverage. However, the above buffer criterion is applied only after the minimum 90% market coverage is satisfied.
BSE PSU Index
Bombay Stock Exchange Limited launched "BSE PSU Index" on 4 June 2001. This index consists of major Public Sector Undertakings listed on BSE. The BSE PSU Index is displayed on-line on the BOLT trading terminals nationwide.
Objective:
a. An Index to track the performance of listed equity of PSU companies
b. A suitable benchmark for the Central Government to monitor its wealth on the bourses.
The Base Date for the BSE PSU Index is 1st February 1999, the date when the BSE-500 was launched. Being a subset of BSE-500, the BSE PSU Index ensures a reasonable history of how the Central Government wealth fluctuated on the bourses. The Base Value for the BSE PSU Index has been set at 1000 to ensure adequacy in terms of daily index movement.
Scrip selection criteria for BSE PSU Index
For consideration of scrips for inclusion in BSE PSU index, Public Sector Undertaking refers to any undertaking wherein the Central Government holding is equal to or more than 51%. Since BSE PSU index is a subset of BSE-500 index, scrips that form part of BSE-500 index automatically get included in BSE PSU index.
BSE Mid-Cap and BSE Small-Cap Index
BSE introduced the new index series called 'BSE MID-Cap' index and 'BSE Small-Cap' index to track the performance of companies with relatively smaller market capitalization.
BSE-500 Index - represents more than 93% of the listed universe. Companies with large market capitalization bias the movement of BSE-500 index. This necessitated construction of a separate indicator to capture the trend in companies with lower market capitalization. Over the years, BSE Mid-Cap and BSE Small-Cap indices have proven to be a great utility to the investing community.
BSE Mid-Cap and BSE Small-Cap Index - Scrip Selection Criteria:
The general guidelines for selection of constituents in BSE Mid-Cap & BSE Small-Cap Index are as follows:
- Trading Frequency: The scrip should have been traded on 60% of the trading days in the last three months
- Eligible universe shall comprise of companies aggregating 98.5% of average market capitalization
- This list shall be categorixed under large-cap, mid-cap and small-cap segment based on 80%-15%-5% market capitalization coverage respectively
- BSE Mid-Cap Index shall comprise of scrips that gives market capitalization coverage between 80% & 95% from the list derived as per point no.3 above
- BSE Small-Cap Index shall comprise of scrips that gives market capitalization coverage between 95% & 100% from the list derived as per pont no.3 above
- Quarterly review of these indices shall be carried out as per the above criteria subject to a buffer of 3%
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