Statistics Definitions

Statistics Definitions

The domestic market capitalization of a stock exchange is the total number of issued shares of domestic companies (as defined in the number of listed companies definition), including their several classes, multiplied by their respective prices at a given time. This figure reflects the comprehensive value of the market at that time.

 

The market capitalization figures include:

-    shares of listed domestic companies;

-    shares of foreign companies which are exclusively listed on an exchange, i.e. the foreign company is not listed on any other exchange

-    common and preferred shares of domestic companies

-    shares without voting rights

 

The market capitalization figures exclude:

-    collective investment funds ;

-    rights, warrants, ETFs, convertible instruments ;

-    options, futures ;

-    foreign listed shares other than exclusively listed ones ;

-    companies whose only business goal is to hold shares of other listed companies, such as holding companies and investment companies, and regardless of their legal status;

-    companies admitted to trading (companies admitted to trading are companies whose shares are traded at the exchange but not listed at the exchange)

 

The universe of domestic listed companies should be the basis of the domestic market capitalization.

 

 

The market capitalization of a stock exchange is the total number of issued shares of domestic companies, including their several classes, multiplied by their respective prices at a given time. This figure reflects the comprehensive value of the market at that time.

The market capitalization figures include:               

-  shares of domestic companies ;

-  shares of foreign companies which are exclusively listed on an exchange, i.e. the foreign company is not quoted on any other exchange

-  common and preferred shares of domestic companies

-  shares without voting rights

The market capitalization figures exclude:               

          - collective investment funds ;

          - rights, warrants, ETFs, convertible instruments ;

          - options, futures ;

-  foreign listed shares other than exclusively listed ones ;

          - companies whose only business goal is to hold shares of other listed companies

- companies admitted to trading (companies admitted to trading are companies whose shares are traded at the exchange but not listed at the exchange) 

The market capitalization of newly listed domestic shares is the total number of new shares issued multiplied by their value on the first day of quotation.

The market capitalization of delisted domestic shares is the total number of these shares multiplied by their value on the last day of quotation.

Number of companies which have shares listed on an exchange at the end of the period, split into domestic and foreign, excluding investment funds and unit trusts. A company with several classes of shares is counted just once. Only companies admitted to listing are included.

Domestic / Foreign Company

A company is considered domestic when it is incorporated in the same country as where the exchange is located. A company is considered foreign when it is incorporated in a country other than that where the exchange is located.

The number of newly listed companies is the number of companies which list shares for the first time on a stock exchange. Only companies admitted to listing are included.

The number of delisted companies is the number of companies removed from listing and trading.

The value of share trading is the total number of shares traded multiplied by their respective matching prices. The table distinguishes trading value of domestic and foreign shares.

Figures are single counted (only one side of the transaction is considered). Companies admitted to listing and admitted to trading are included in the data.

 

In order to achieve a more complete view of market activity, share trading value is split into three main categories of trades according to the facility / means used to execute the trading operation:

  • Trades effected through the electronic order book (EOB)

These trades represent the transfer of ownership effected automatically through the exchange’s electronic order book where orders placed by trading members are usually exposed to all market users and automatically matched according to precise rules set up by the exchange, generally on a price/time priority basis.

  • Negotiated deals

This contains trades different from the EOB, confirmed through a system managed (directly or indirectly) by the Exchange, where both seller and buyer agree on the transaction (price and quantity). This system checks automatically if the transaction is compliant with the exchange rules, including most often consistency with EOB price.

  • Reported trades

This contains trades reported through a Trade Reporting Facility (TRF) when only one counterparty provides information on the trade and offers dissemination services at the request of the reporting trader. The other counterparty could use this facility if reporting is mandatory. 

 

The number of trading days is simply the total number of days during which market operations were conducted during the period.

The average daily turnover is calculated by dividing the total value of share trading by the number of trading days during the year.

The average value of trades during a given year is calculated by dividing the total value of share trading by the total number of trades in equity shares.

The number of trades represents the actual number of transactions which have occurred during the period on the relevant exchange. The number is single counted (i.e., includes one side of the transaction only). Companies admitted to listing and admitted to trading are included in the data.

In order to generate a more complete information, a split distinguishes two main categories of trades according to the facility / means used to execute the trade (see definitions in Valur of share trading) :

  • Trades effected through the electronic order book
  • Negotiated deals

The total number of shares traded includes domestic and foreign shares. The number is single counted.

The turnover velocity is the ratio between the Electronic Order Book (EOB) turnover of domestic shares and their market capitalization. The value is annualized by multiplying the monthly average by 12, according to the following formula:

 

Monthly EOB Domestic Share Turnover

__________________________             *12

Month-end Domestic Market Capitalization

 

Only domestic shares are used in order to be consistent.

This information is given in percentage.

Market concentration shows the part represented by 5% of the most heavily capitalized domestic companies and 5% of the most traded domestic shares compared to domestic market capitalization and share trading value, respectively.

It also indicates the part represented by the 10 most capitalized domestic companies and the 10 most traded ones compared to domestic market capitalization and share trading value, respectively.

 

The aggregated value of money raised on the primary market with offer of  shares (already issued or newly issued) in the period. Primary market operations, representing new funds for companies or proving money to former shareholders, are placed through public offers or via underwriters/banks. The figure is calculated by multiplying the number of shares that were placed by the offer price. Only the companies admitted to listing are included. Companies admitted to listing in Exchange A and admitted to trading in exchange B are not included in the statistics of exchange B.

Tables are presented in the following way:

  • Total Investment flows through IPOs contains :

- Newly issued shares

- Already issued shares

  • Total Investment flows by already listed companies contains :

- Newly issued shares

- Already issued shares

 

A securitized derivatives product is a tradable financial instrument designed to meet specific investor needs and to respond to different investment strategies, by incorporating special, non-standard features.

These products are in general used for capital protection, hedging against exposure to national or foreign equities, indices variations, commodity and currencies prices, arbitrage strategies, directional trading, etc. Each securitized derivatives product has its own characteristics. They are generally issued by intermediaries different from the issuer of the underlying financial instruments.

 Securitized derivatives products include different types of instruments such as (but not limited to) covered warrants and certificates.

 • Covered warrants incorporate an option to buy or sell other financial instruments; according to their features, may be distinguished between plain vanilla (underlying represented by a single product) and structured/exotic (more complex products whose underlying is represented by a basket of products, and/or incorporating combinations of call and/or put and/or exotic options). The underlying assets can be represented by equities, bonds, indices, currencies and commodities. In most cases covered warrants lead to a cash settlement, without the physical delivery of the underlying financial instruments.

 • Certificates track the performance of an underlying asset, often with a leverage effect (those without leverage being defined “investment certificates”). They provide the investor the opportunity to spread risk with moderate capital and administration costs, thus making possible the investment in foreign or largely diversified assets.

  The table shows the number of securitized derivatives admitted to listing or trading at the end of the period, their trading value and total number of trades during the period.

ETFs are portfolio investment products that are admitted to listing or trading on a regulated exchange. An ETF provides investors with exposure to a diversified basket of shares or other financial instruments. ETFs aim to replicate the performance of a specific index; this index can be a blue chip, a regional, or a sector index. The index type is not just limited to shares and may include bond indexes and other types of sophisticated index. ETFs are traded in the same way as any other share. These instruments can be used by investors as a hedging tool or as an investment product.

The table shows the number of ETFs admitted to listing or trading at the end of the period, their trading value and the total number of trades during the period.

The bond trading value is the total number of bonds traded multiplied by their respective matching prices. The table indicates the value of bond trading split into domestic private, domestic public and foreign bonds ( see definitions of the categories in Number of bonds issuers). As WFE doas for the value of share turnover, the value of bond trading is broken down into electronic order book trades and negotiated deals. Figures are single counted.

Bonds are fixed-income financial instruments, issued by governments, local authorities and state-owned or private organizations. They may be listed or traded in one or several exchanges, and ensure predetermined levels of returns in the form of interest rate. Interest rates may remain fixed throughout the bond’s life or vary according to the bond’s terms of listing.

Data represent the number of bonds listed multiplied by their price at year-end.

Some exchanges publish a bond market value at a notional value (signaled in a footnote); the other bourses use the real market value.

The total number of bond issuers represents the number of organizations which issued the fixed-income instruments listed on the exchange. These issuers are broken down into domestic private, public, and foreign entities.

  • Domestic private bonds include corporate bonds, bonds issued by domestic banks and financial institutions ;
  • Domestic public bonds include government state-owned organizations bonds and bills, state-related institutions whose instruments are guaranteed by the state, and municipal bonds ;
  • Foreign bonds listed on the exchange are issued by non-resident institutions : foreign governments, banks, financial institutions, supranational organizations (EIB, EBRD, World Bank, …). They also include eurobonds (bonds issued under a law of a state different from the one of the issuer and placed in a foreign country inside the euro zone).

An issuer may list bonds with different maturities, but the total number of issuers is unchanged.

The table indicates the corresponding value of newly listed bonds on an exchange and includes also money raised in already listed bonds.

These definitions concern all derivatives tables :

Number of contracts traded

A contract is a standard unit of trading denoted by the number of shares or the amount of capital that may vary from class to class, or from product to product, as defined by an exchange.

Notional Value

The notional value of derivatives is the number of contracts traded multiplied by the contracts’ underlying value. The contracts’ underlying value is calculated by multiplying the market price of the underlying asset for each contract times the contract’s multiplier. It is an approximate measure of the underlying value of the number of contracts traded.

Open interest

It is the number of derivatives contracts (futures and options) outstanding at a given time (close of trading at the last trading day of the month). It may be computed on a net or gross basis, according to the way the opening/closing of position by the same trader is managed at the clearing level. This is usually used in analysis of liquidity and market size.

Option Premium

The option premium represents the money paid by buyers to writers of calls or put options.

The premium turnover for each trade is computed by multiplying price by volume by lot size.

Day premium turnover is the cumulative value of each trade.

Single Stock options

A single stock option is a standardized tradable contract that gives the owner the right to buy or sell a particular stock at a specified date in the future at a pre-determined price.

Single Stock futures

A single stock future is a standardized tradable contract that gives the owner the obligation to buy or sell a particular stock at a specified date in the future at a pre-determined price.

Stock index options

A stock index option is an option (right to buy or sell an underlying in the future) whose underlying reference is determined by the price of a specific stock index.

Stock index futures

A stock index future is a future (obligation to buy or sell an underlying in the future) whose underlying reference is determined by the price of a specific stock index.

ETF options

An ETF option is an option (right to buy or sell an underlying in the future) whose underlying reference is determined by an ETF price. As ETFs trade like stocks, options on these products are operationally similar to options on stocks.

ETF futures

An ETF future (obligation to buy or sell an underlying in the future) whose underlying reference is determined by an ETF price. As ETFs trades like stocks, futures on these products are operationally similar to futures on stocks.

Short term interest rate options

A short term interest rate option is an option (right to buy or sell an underlying in the future) whose underlying reference is determined by the level of a specific short term interest rate. A short term interest rate corresponds to an original term to maturity equal to or lower than 12 months (treasury bills, deposits etc).

Short term interest rate futures

A short term interest rate future is a future (obligation to buy or sell an underlying in the future) whose underlying reference is determined by the level of a specific short term interest rate. A short term interest rate corresponds to an original term to maturity equal to or lower than 12 months (treasury bills, deposits etc).

Long term interest rate options

A long term interest rate option is an option (right to buy or sell an underlying in the future) whose underlying reference is determined by the level of a specific long term interest rate. A long term interest rate corresponds to an original term to maturity greater than 12 months (treasury bonds, corporate bonds, Eurobonds etc).

Long term interest rate futures

A long term interest rate future is a future (obligation to buy or sell an underlying in the future) whose underlying reference is determined by the level of a specific long term interest rate. A long term interest rate corresponds to an original term to maturity greater than 12 months (treasury bonds, corporate bonds, Eurobonds etc).

Currency options

A currency option is an option (right to buy or sell an underlying in the future) whose underlying reference is based on a currency price.

Currency futures

A currency future is a future (obligation to buy or sell an underlying in the future) whose underlying reference is based on a currency price.

Commodity options

A commodity option is an option (right to buy or sell an underlying in the future) whose underlying reference is determined by a commodity price. Commodity derivatives can be based on a wide range of commodities (agricultural, energy, metal etc).

Commodity futures

A commodity option is a future (obligation to buy or sell an underlying in the future) whose underlying reference is determined by a commodity price. Commodity derivatives can be based on a wide range of commodities (agricultural, energy, metal etc).

Broad indexes are, in general, market capitalization-weighted, including a large sample of listed domestic companies, as the all-share or composite indexes. They are generally recalculated to adjust to capital operations and to modifications in the company composition of the index. The index can be market capitalization-weighted or free float based.

When the index is a price index, it measures the pure change of share prices without taking into consideration returns from dividend pay-outs.

When the index is a return index, it measures the total return of investments on the index shares, including reinvested dividends.

Certain WFE member exchanges operate several markets, and report index performances on an individual basis.

A blue chip index measures the price movements of a selected range of blue chips stocks, generally the most heavily capitalized and traded shares. Blue chips indexes often serve as underlyings for derivatives (options and futures). The index can be market capitalization-weighted or free float based.

As with the broad stock market indexes, some WFE member exchanges operate several markets, and choose to report index performances on individual basis.

The volatility of blue chip indexes is calculated as follows:

Standard deviation of Ln ((index value d / index value d-1)....(index value d-124 / index value d-125), multiplied by the square root of 250, and multiplied by 100.

d = day

The PER is calculated by dividing the market capitalization by the total market earnings. It concerns stocks included in the main index of the stock exchange, when possible.

The inflation rate is the measure of the rate of increase of in the consumer price index. It is the percentage rate of change in price level over the year.

Definition of number of new companies listed through an IPO

 The number of companies, split between domestic and foreign, whose shares were admitted to listing during the period through an offer of subscription and/or sales of shares (IPO). A company with several classes of shares is just counted once. Only companies admitted to listing are included in the data.

Definition of number of other new companies listed

 The number of companies, split between domestic and foreign, whose shares were admitted to listing during the period through a procedure different from an IPO (e.g. splits, mergers, or having already floated shares). A company with several classes of shares is just counted once. Only companies admitted to listing are included in the data.

Investment funds include UCITS, listed unit trusts, closed-end funds, investment trusts. They are collective funds managed by an investment trust company (a company established with the purpose of investing in other companies) or a management team. UCITS, listed unit trusts, closed-end funds and investment trusts are all different forms of collective investment, depending on a country's legislation.

The table also shows the number of investment funds admitted to listing or trading at the end of the period, their trading value and the total number of trades.

This table presents the number of bonds listed by the different categories of issuers, and split into domestic public bonds, domestic private bonds, and foreign bonds (see definitions of the categories above). A single issuer may list many securities with different maturities.

 

Bond

Number of domestic public bonds listed

Number of domestic private bonds listed

Number of foreign

bonds listed

Domestic public bonds 

5

 

 

Domestic private bonds

 

2

 

Foreign bonds

 

 

 

1

Domestic / Foreign sub-totals

5

2

1

Total

8

 

This table presents the number of new bonds listed during a given year issued by the different categories of issuers, and split into domestic public bonds, domestic private bonds, and foreign bonds (see definitions of the categories above).

 

Bond

Number of domestic public bonds newly listed

Number of domestic private bonds newly listed

Number of foreign

bonds newly listed

Domestic public bonds 

2

 

 

Domestic private bonds

 

 

1

 

Foreign bonds

 

 

 

1

Domestic / Foreign sub-totals

2

1

1

Total

5

 

The total number of trades in bonds represents all trades which have taken place on the exchange during the period. The number is single counted.

 As WFE does for the number of trades in equity shares, data are broken down according to the type facility / means used to execute the trading operation (see definitions above) :

  • trades effected through the electronic order book
  • negotiated deals

Short term interest rates are represented by the 3-month money market rate or Inter Bank Offered Interest Rate (IBOR) at year-end.

Long term interest rates are represented by the yield on the current 10-year government bonds at year-end.

These indicators compare the exchange’s market capitalization to the national gross domestic product (GDP).

GDP figures are taken from the International Monetary Fund’s statistics.

Trading participants are the number of dealers, brokers, brokers-dealers, and individuals acting as principals who trade on the exchange through direct access to the trading system. Clearing and settlement members are excluded. Several branches of a same organization have the right to apply as trading member to an exchange, and each licence is computed as one trading participant. For example, it two branches belonging to the same organization apply as trading members, they are counted as two trading participants.

Dividends distributed by domestic listed companies, indicated in this table, cover ordinary and special cash dividends. In case that a company has been delisted during the year but has paid a dividend during the period, it is included in the numbers.

The gross and net dividend yields are calculated by dividing the total amount of dividends paid by the whole domestic market capitalization of the market segment concerned. The gross dividend paid and its related yield are calculated before investor income tax payment on dividend earned ; the net dividend paid and its related yield are calculated after tax.