Cap-Weighted All Stock Indices, Developed Markets

35 Pages Posted: 31 Jan 2015

Date Written: January 30, 2015

Abstract

The all-stock equity indices provide important information to market participants for asset allocation and investment performance evaluations. In this paper, we construct market capitalization weighted indexes for each of the 23 countries included in the MSCI World Developed Market index as of December 31, 2014. We filter out country level data for illiquid and very small companies and construct indexes that represent most of the market capitalization of each country. We then combine each one of the country indexes based on the total U.S. dollar market capitalizations of each country to create a developed market index. We believe that this index represents the overall common stock investment opportunity set in developed markets and that the investment returns of this index represents the investment returns of all investors in developed markets.

Keywords: Asset pricing, capitalization weighted index, developed markets

JEL Classification: G10, G11, G12, G14, G15

Suggested Citation

Ramraika, CFA, Baijnath and Trivedi, Prashant, Cap-Weighted All Stock Indices, Developed Markets (January 30, 2015). Available at SSRN: https://ssrn.com/abstract=2557956 or http://dx.doi.org/10.2139/ssrn.2557956

Baijnath Ramraika, CFA (Contact Author)

Multi-Act EquiGlobe Limited ( email )

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The Pod, Vivea Business Park
Moka, Mauritius 81406
Mauritius
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HOME PAGE: http://www.symantaka.com/

Prashant Trivedi

MAEG ( email )

3rd Flr, Trade Centre Bldg
North Main Road, Koregaon Park
Pune, Maharashtra 411001
India

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