CROBEX® is the official Zagreb Stock Exchange share index. The ZSE started publishing it on September 1, 1997. The base date of the index is July 1, 1997 and the base value is set on 1000.
Type of index
CROBEX® is weighted by free float adjusted market capitalization. The weight of any individual issuer in CROBEX® is limited to 15% of the index capitalization. If a share was not traded on the given day, the previous close price is used.
Continuous calculation during the trading session. Last prices are used for the calculation.
| Mj (t)
|| Free float market capitalisation of CROBEX10© on day t and time j
|| Free float market capitalisation of CROBEX10© on base date
|| Base adjustment factor on revision day T
Stocks which were traded on more then 90% of the available trading days in the previous six month period are qualified for CROBEX® selection. In the selection process stocks are ranked by the following two criteria:
1. free float market capitalization
2. orederbook turnover in preceding 6 month period
The free float market capitalization in percent and the turnover in percent are each given a weighting of 50% and so called market share is calculated. Stocks are ranked by the market share and the top 25 stocks are selected to be included into the CROBEX® index. Companies with more then one stock issues listed on Zagreb Stock Exchange will not be included more than once in CROBEX® index. Issue with the highest rank will be selected for inclusion into the CROBEX®.
In order to ensure the stability of the index 23/28 tolerance zone is applied. Stocks ranked between 1st and 22nd place are admitted directly. Three remaining stocks are selected from stocks ranked between 23th and 28th place keeping in mind that stocks with higher rank from the current composition of CROBEX® are qualified first.
Following is not considerd as free float:
- ownership stakes exceeding 5%
- treasury stocks
If free float is less than 20% it is rounded off to the nearest 1%. If free float is above 20% it is rounded up to the nearest 5%.
Revisions of CROBEX® are carried-out twice a year: third Friday in March and September. Due to certain unpredictable corporate events, such as bankruptcy or liquidation of company, reduction of equity capital, takeover, merger, delisting etc., the Index Committee can decide to review the composition of CROBEX® between regular revisions.
Stock excluded from CROBEX® will be replaced with non-component stock with highest market share.
The Index Committee can decide to review the composition of CROBEX® if newly listed stocks in first 30 trading days meet following criteria:
- have to be traded on 100% of the available trading days in the first 30 trading days;
- have to be in top 15% of equities ranked by free float market capitalization;
- turnover greater then 0.75% of equity turnover in the first 30 trading days
In order to keep the index comparable over time it is necessary to adjust the base in the case of inclusion of new stocks into the index, exclusion of stocks from the index and whenever there is a change in the number of shares that results in the change of market capitalization of the index. The adjustment of the base occurs after the close of trading on day T and before calculation of index on day T+1. The formula for adjusting the base is following:
||CROBEX® value after change on day T
||CROBEX® value before change on day T
From 24 September 2012 shares from 25 companies are included in the CROBEX®
||Number of shares in CROBEX®
||AD plastik d.d.
||Adris grupa d.d.
||Atlantic grupa d.d.
||Atlantska plovidba d.d.
||Belje d.d. Darda
||Đuro Đaković Holding d.d.
||Ericsson Nikola Tesla d.d.
||Končar elektroindustrija d.d.
||Valamar Adria Holding d.d.
||Luka Ploče d.d.
||Luka Rijeka d.d.
||Riviera Adria d.d.
||Viro tvornica šećera d.d.
||Zagrebačka banka d.d.
Source: Zagreb Stock Exchange