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SDDS
Special Data
Dissemination Standard

Date of last update: 10/21/2009

STOCK MARKET - SHARE PRICE INDEX

Category Provider's Data

Contact Person

Renato Baldini Júnior

Organization

Banco Central do Brasil, Departamento Econômico, Divisão Monetária e Bancária
SBS Qd.3 Bl. B, Ed. Sede, 10º andar
Brasília (DF) - Brasil
CEP 70.074-900

Phone Number

55 61 3414-1006

Fax Number

55 61 3414-2036

E-mail

dimob.depec@bcb.gov.br

 

Description
The Data: Coverage, Periodicity, and Timeliness

Coverage characteristics

Data are disseminated on the Index of the BM&FBOVESPA S.A. - Securities, Commodities and Futures Exchange (1968= 100). The BM&FBOVESPA S.A. - Securities, Commodities and Futures Exchange handles about the 85 percent of the volume traded on the country’s nine stock exchanges.

Periodicity

Daily

Timeliness

The morning following the reference day.
Access by the Public

Advance dissemination of release calendar

Not applicable. Data are disseminated daily.

Simultaneous release to all interested parties

Daily data are released on the Central Bank Information System (SISBACEN), which can be accessed by downloading proper software on the Internet at:
http://www.bcb.gov.br/?SISBACEN

The monthly indices and the corresponding variations are published in the Central Bank Bulletin, which is available to all interested parties on the Internet at http://www.bcb.gov.br/?BULLETINCR or by subscription.

Daily data are also disseminated by BM&FBOVESPA S.A. - Securities, Commodities and Futures Exchange on its Internet site at www.bmfbovespa.com.br

Integrity

Dissemination of terms and conditions under which official statistics are produced, including those relating to confidentiality of individual responses

The share price index is not an official statistic. The Central Bank publishes the data as a public service. BM&FBOVESPA publishes rules for calculating the index on the Internet at http://www.bmfbovespa.com.br

Identification of internal government access to data before release

The government does not have access to the information before its release.

Identification of ministerial commentary on the occasion of statistical releases

No comments by ministries or other federal government entities are added to the data.

Provision of information about revision and advance notice of major changes in methodology

The methodology has been the same since 1968 and can be found on the BM&FBOVESPA's website at http://www.bmfbovespa.com.br. The data are disseminated on a daily basis and are final when first released. In case of any changes in methodology, the information will be released on the website of the BM&FBOVESPA S.A. - Securities, Commodities and Futures Exchange at least one month in advance of its implementation.
Quality

Dissemination of documentation on methodology and sources used in preparing statistics

Methodological notes are available on the Internet at http://www.bmfbovespa.com.br

Dissemination of component detail, reconcilliations with related data, and statistical frameworks that support statistical cross-checks and provide assurance of reasonableness

BM&FBOVESPA releases daily data on the Internet and publishes the quartely "Revista da Nova Bolsa".

"Informe Técnico" is a monthly released supplement of the "Revista da Nova Bolsa", which contains the daily data for the current month, the monthly data for the current and previous years, and the annual data (end-of-period) for the nine previous years.

The Bovespa Index is also presented in the monthly Central Bank Bulletin on a monthly basis for the current and previous years, and annual data (end-of-period) for the three previous years.

Notes

Summary page on observance and transition plan

 

Dissemination Formats
Hardcopy
X   News release  
    Weekly bulletin  
  X Monthly bulletin
  • The Banco Central do Brasil Informative Bulletin is a bilingual publication available free of charge at the Central Bank library. Subscription information can be found at the General Control of Publications (http://www.bcb.gov.br/?SUBSPRINTED).
  • "Informe Técnico" can be obtained by phone:

55 11 3233-2102 or 55 11 3233-2252

Its cost is US$ 172,00 per year, including shipment.

    Quarterly bulletin  
  X Other "Revista da Nova Bolsa is issued in Portuguese and in English. The subscription can be done by telephone. 5511 3233-2102 or 55 11 3233-2252.

Its cost is R$ 50,00 per year

Electronic media
X X On-line country bulletin board or database Information are available on line in Portuguese on Central Bank Information System (SISBACEN).

Proper software for accessing SISBACEN is free of charge and can be downloaded from http://www.bcb.gov.br/?SISBACEN

Aditional information can be obtained on Central Bank's website.

  X Internet address The monthly indices and the corresponding variations are published in the Central Bank Bulletin available to all interested parties on the Internet at:
http://www.bcb.gov.br/?BULLETINCR

Daily data are also disseminated by the BM&FBOVESPA S.A. - Securities, Commodities and Futures Exchange on its Internet site at:
http://www.bmfbovespa.com.br

    Diskette  
    CD ROM  
    Other  

 

Summary Methodology
Analytical framework, concepts, definitions, and classifications (including reference to applicable guidelines)

The Bovespa Index is the most important indicator of average performance of prices on the Brazilian stock market, as BM&FBOVESPA is responsible for approximately 85 percent of the total traded on all Brazilian stock exchanges. Its basic purpose is to serve as an average market performance indicator. Therefore, its composition seeks to approximate as closely as possible the actual pattern of sight trades on the BM&FBOVESPA.

In short, the Bovespa Index is the current value, in current currency , of a theoretical stock portfolio based on an a hypothetical investment.

Scope of the data (coverage of, e.g., institutional units, transactions and stock, commodities, industries, and geographic areas)
The Index's theoretical portfolio is made up of stocks which, taken as a whole, represent 80 percent of the volume traded at sight in the 12 months prior to creation of the portfolio. An additional criterion requires that a stock be traded on at least 80 percent of all floors during the period.
Accounting conventions (e.g. time of recording, valuation methods)
No accounting conventions have been adopted for Ibovespa.
Nature of the basic data (e.g., administrative records, surveys censuses, combinations of these)
For the index to remain representative over the long term, the market is reassessed every four months, based on the preceding 12 months in each instance, and changes in the relative share of each stock are identified. Then, a new portfolio is put together, giving each stock a new weight based on the distribution of the market, as determined in the reassessment.Firms issuing stocks that are in the theoretical portfolio of the Bovespa Index account, on average, for approximately 70 percent of the total stock market capitalization of all firms with shares traded on the BM&FBOVESPA.
Compilation practices (e.g., weighting schemes, imputation methods, balancing/cross-checking techniques)

The Bovespa Index is nothing more than the sum of the weights (theoretical quantity of the stock multiplied by its last price) of the stocks making up the theoretical portfolio. It can therefore be calculated at any time using the following formula:

where:

Ibovespat = Bovespa Index at time t

n = total number of stocks in the theoretical portfolio

Pit = last price of stock i at time t

Qit = theoretical quantity of stock i in the portfolio at time t

For a stock to be included in the Bovespa Index, it must simultaneously meet the following criteria, always with respect to the last 12 months:
  1. be included in a list of stocks resulting from adding the "tradability indices" in decreasing order, until reaching 80% of the sum of all individual indices;
  2. have a share of more than 0.1 percent of total volume;
  3. be traded on more than 80 percent of all floors during the period.
Other aspects (e.g., seasonal adjustment, disclosure avoidance, base years, reference years, transformations from fiscal to calendar years)

Using the above formula, BM&FBOVESPA calculates the tradability index for each of the stocks in the index traded in the last 12 months.These indices are listed in decreasing order until the total of the individual shares reaches 80 percent. The stocks thus selected make up the index portfolio, provided that they meet the other two criteria. If they do not, they are replaced by stocks below them in the decreasing list that do meet the criteria. Once the minimum of 80 percent of the sum of the tradability indices is reached, the list of stocks that will make up the Bovespa Index for the next four months is determined, and the stocks selected will only be removed from the portfolio when they fail to meet at least two of the criteria.

Stock tradability index

where:

n = number of trades involving the stock on the sight market in the last 12 months.

N = total number of trades on the sight market in the last 12 months.

v = value in currency of trades involving the stock on the sight market in the last 12 months.

V= total value in current currency of the sight market in the last 12 months.