Market value-weighted index

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Market value-weighted index

An index of a group of securities computed by calculating a weighted average of the returns on each security in the index, where the weights are proportional to outstanding market value.

Capitalization-Weighted Index

An index in which the price is determined by the price of individual stocks, weighted for total market value. For example, if the price of a component stock of the index changes, its effect on the index as a whole is proportionate to share's price multiplied by the number of shares the company has outstanding. This means that changes in price will affect the index more if the component company has greater value. Most non-American market value-weighted indices give further weighting (called float-weighted indexing) to properly account for partial government ownership of many large corporations. This method of index weighting contrasts with a price-weighted index, in which all price changes are weighted differently, and a market share-weighted index, which weights only by the number of shares outstanding and not by their value. Major examples of a market value-weighted index include the NASDAQ Composite Index and the Standard & Poor's 500. The latter uses float-weighted indexing to match its calculations more closely with foreign counterparts.
References in periodicals archive ?
The new market-value weighted benchmark is introduced as a comprehensive addition to the widely used J.P.
Standard deviation is around 0.04 for the equally-weighted portfolios whereas it is slightly higher for market-value weighted portfolios.
The coefficient is negative and significant in the size anomaly both for the market-value weighted portfolios and for the equally-weighted portfolios.
In the market-value weighted portfolios, this happens with asset growth, ROA and EBITDA, whereas in the equally-weighted portfolios, this effect takes place for size, volatility, asset growth anomalies and combined strategy.
In the market-value weighted portfolios, of the 12 tested anomalies, the Long position showed significant positive returns after the optimistic months for five anomalies as opposed to six anomalies after pessimistic periods; the power of the optimistic moment is greater than that of the pessimistic moment only for size, with a return of -4.037 significant at the 10% level.
It is also a market-value weighted index and was the first benchmark of mid-cap stock price movement.
It is a market-value weighted index, with each stock's weight in the index proportionate to its market value.