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The Taipei Exchange (TPEx) Capitalization Weighted Stock Index and Sector Indices are divided into the TPEx Capitalization Weighted Stock Index (TPEX), the Electronics Sector Index, and other Sector Indices (collectively, the Sector Indices). The constituents of the Indices are as set out below:
- The TPEX: Common stocks of TPEx listed companies that are not managed stocks.
- The Electronics Sector Index: Common stocks of TPEx listed companies that are not managed stocks and that belong to any one of the following sectors as defined in the TPEx Directions for Classifying and Adjusting the Industry Categories of TPEx Listed Companies: semiconductors, computer and peripheral equipment, optoelectronics, communications and internet, electronic parts and components, electronic products distribution, information service, and other electronics.
- The Other Sector Indices: Common stocks of TPEx listed companies that are not managed stocks and that belong to a sector of TPEx listed companies as defined in the TPEx Directions for Classifying and Adjusting the Industry Categories of TPEx Listed Companies.
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The times for inclusion or exclusion of constituents of the TPEX and the Sector Indices are as follows:
- Stocks of newly TPEx listed companies are included in the constituents from the sixth trading day counting inclusively from the date their trading commences on the TPEx. However, stock of a TPEx listed company that is converted into stock of another newly incorporated company or a holding company, or stock of a newly incorporated company that results from a demerger of a TPEx listed company, or managed stock that is reclassified as TPEx listed stock, is included in the constituents from the day of listing.
- TPEx listed stocks suspended from trading are excluded from the constituents from the day the suspension of trading commences and are included in the constituents from the first trading day of the second month following the month in which their trading is resumed. However, TPEx listed stocks that are suspended from trading because of issuance of new replacement shares due to a capital reduction (including for causes such as making up losses, cash refund of capital stock to shareholders, or split), or because of issuance of new replacement shares due to a change in par value, or because of mergers or acquisitions in accordance with the Business Mergers and Acquisitions Act, the Financial Institutions Merger Act, or other laws and regulations, are retained within the constituents and are not excluded.
- Stocks delisted from the TPEx are excluded from the constituents from the date of termination of their trading on the TPEx.
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Index calculation frequency
- For the TPEX and the Sector Indices, the real time price index is calculated and disseminated every 5 seconds based on the latest trade prices of the constituents during the trading hours of the TPEx automated trade matching system, and the closing index is calculated once each day after market close.
- For the aforesaid indices, the TPEx additionally calculates a "total return index," which makes an adjustment by taking cash dividend factors into consideration to reflect the return including cash dividends. The total return index of each of the indices is calculated and disseminated once each day after market close.
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Index calculation formula:
Index = Aggregate market value / Base value of the current day × 100
The aggregate market value is the aggregate of the market values obtained by multiplying the latest trade price of each constituent by the number of issued shares of the current day. If there is no trade price on the current day, the basis price of the opening of trading of the current day may be used for the calculation.
If a TPEx listed stock is retained within the constituents during a period of suspended trading of the stock, the retained market value included in the calculation of the index is the closing market value of the stock on the trading day preceding the suspension of trading. If that TPEx listed stock is ex-dividend during the period of suspended trading, the retained market value included in the calculation of the index is the market value obtained using the closing price on the day preceding the suspension of trading minus the cash dividend per share and the original number of issued shares.
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Method for adjustment of the base value
- Timing of adjustment of the base value:
- Effective date of inclusion or exclusion of a constituent.
- Ex-rights date of distribution of common shares as stock dividends on preferred shares.
- Ex-rights date of common shares subscribed by original shareholders for cash capital increase.
- TPEx listing date of cash capital increase common shares or certificates of payment for shares for which the original shareholders have waived subscription rights and public underwriting has been adopted.
- Ex-rights/ex-dividend date or the third trading day of the next month (whichever is earlier) for reversing to the original number of issued shares following receipt of notification of a failed offering for a cash capital increase by a listed company.
- TPEx listing date of capital increase common shares or certificates of entitlement to new shares issued following a company merger or consolidation.
- TPEx listing date of new common shares issued for capital increase for global depositary receipts.
- Items for which the adjustments are to be made on the ex-rights/ex-dividend date or the third trading day of the next month following the TPEx announcement (whichever is earlier) are as follows:
- Distribution of capital increase shares or certificates of entitlement to new shares to employees as compensation.
- Cancelation of shares and capital reduction conducted by the company in accordance with law.
- Conversion of convertible corporate bonds directly into common shares (or conversion of bond conversion entitlement certificates into common shares).
- Issuance of common shares through exercise of securities with subscription rights.
- Conversion of convertible preferred shares into common shares.
- Other non-trading factors affecting aggregate market value.
- Ex-dividend date for distribution of cash dividends (applicable only to the total return index).
- Date of resumption of suspended trading by a company issuing new replacement shares due to a capital reduction for cash refund of capital stock to shareholders. If at the same time as a company carries out operations for issuance of new replacement shares due to a capital reduction or issuance of new replacement shares due to a change in par value, it also conducts a cash capital increase or other share increase or decrease operations, it shall likewise adjust the base value on the date of resumption of trading.
- Base value adjustment calculation method:
- Formula for adjustment of the price index base value:
Base value of the current day = Base value of the previous day × Adjusted aggregate market value after the close of the previous day / Closing aggregate market value of the previous day
Adjusted aggregate market value after the close of the previous day =
Closing aggregate market value of the previous day + Sum total of all adjustments in market value
- Formula for adjustment of the total return index base value:
Base value of the current day = Base value of the previous day × (Adjusted aggregate market value after the close of the previous day – Aggregate cash dividends distributed on the current day) / Closing aggregate market value of the previous day
- The calculation methods for adjustments in market value of the constituents under the items of subparagraph 1 of point 5 are as follows:
Adjustment under item A: Adjusted market value = Closing price of the previous day × number of issued shares of the TPEx listed company, or = Retained market value
Adjustment under item B: Adjusted market value = Ex-rights/Ex-dividend reference price of common shares × Total number of common shares issued as stock dividends on preferred shares
Adjustment under item C: Adjusted market value = Subscription price of cash capital increase × Number of cash capital increase shares
Adjustment under items D to I: Adjusted market value = Closing price of the previous day × Adjustment in the number of common shares
Adjustment under item J: Adjusted market value ＝ Cash dividend distributed per share × Number of shares participating in the distribution
Adjustment under Item K: Adjusted market value = Opening basis price on the date of resumption of suspended trading × Number of issued shares after the resumption of suspended trading – Retained market value
The "number of issued shares after the resumption of suspended trading" mentioned above does not include the number of shares from any cash capital increase during the book closure period.
If there is no closing price of the previous day, the basis price of the opening of trading of the current day may be used for calculation of the relevant values above.
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Principles for the addition of new Sector Indices and the cessation of existing Sector Indices:
- Addition of new Sector Indices: A review is regularly conducted on the last trading day of September each year, to tally the number of TPEx listed stock companies eligible for index inclusion as of the first trading day of October of the current year. Excluding managed stocks, if the number of TPEx listed companies in a classified sector reaches 20, the announcement will be made that an index for that sector will be compiled and published from the first trading day of January of the following year.
- Cessation of existing Sector Indices: A review of each sector for which a Sector Index already exists is regularly conducted on the last trading day of September each year, to tally the number of TPEx listed stock companies already included in the index as of the first trading day of October of the current year. If the number does not reach five companies, the announcement will be made that that Sector Index will be discontinued from the first trading day of January of the following year.
- For existing Sector Indices, if any circumstances, such as constituent stocks being suspended from trading or transitioning to TWSE listing, result in a lack of available constituent stocks for calculation of the index, that Sector Index will thereupon be discontinued.
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These Directions, and any amendments hereto, shall be implemented from the date of issuance.
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