Feasibility study for the creation of a CMU equity market index family

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The CMU Equity Market Index Family assessed in this study* covers 38 indices, including all share, ESG, SME Growth Market, sectoral, company size, and market size-based indices. They are calculated for both the most liquid stocks and least liquid stocks to promote convergence. For each of the indices the price, gross and net return rates are calculated.

The authors conclude that there is some potential among investors for a CMU Equity Index Family. To some extent, the CMU All Share Index has potential as a benchmark for mutual fund, or to be tracked by ETFs, and this is especially the case for some of the sub-indices. Whether this potential is realised will depend largely on the quality of the index provider, the pricing of the use of the indices and the implementation strategy.


*This is the final report of the ‘Feasibility study for the creation of a CMU Equity Market Index Family’ undertaken by CEPS for the Directorate-General for Financial Stability, Financial Services and Capital Markets Union (DG FISMA), European Commission.

AUTHORS: Willem Pieter de Groen (Project Manager, CEPS), Cinzia Alcidi (Project Director, CEPS), Aleš Berk Skok (subcontractor, CEPS), Igor Lončarski (subcontractor, CEPS), Inna Oliinyk (CEPS), Roberto Musmeci (CEPS) and Mattia Di Salvo (CEPS). 

CONTRIBUTORS: Peter Groznik (NorthGrant), Boštjan Hazabent (NorthGrant), Sashko Stojanovski (NorthGrant), Cosmina Amariei (CEPS/ECMI), Beatriz Pozo (CEPS/ECMI), Silvia Tadi (CEPS), Apostolos Thomadakis (CEPS/ECMI), Daniel Gros (CEPS) and Karel Lannoo (CEPS/ECMI).