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 10% of the index capitalization. If a stock was not traded on the given day, the previous last price is used.
Continuous calculation during the trading session. Last prices are used for the calculation.
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
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.
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:
Shares in collective custody accounts and shares held by pension and mutual funds are always included in the free float. 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.
The Index Committee can decide to eview the composition of CROBEX® if newly listed stocks in first 30 trading days meet following criteria:
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: