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22nd November 2010
Nikkei Launches new Volatility Index and the Nikkei China Related 50 Index
Nikkei has announced the launch of two new indices: The Nikkei Stock Average Volatility Index, an index to reflect the volatility of the Nikkei 225 index based on the price of Nikkei 225 options traded on the Osaka Securities Exchange; and the Nikkei China Related 50 Index, an index for the top 50 major Japanese companies with operations in China.
The Nikkei Stock Average Volatility Index was launched on 19th November 2010 to indicate the expected degree of fluctuations in the Nikkei 225 in the future. As discussed in October’s NEEDS Report newsletter, the volatility calculated from the price of stock index options provides an accurate measure of expected volatility in the Nikkei 225 index. The index uses the pricing of call and put options in Nikkei 225 options to provide a single measure of investor sentiment in the market – the higher the volatility index, the greater the uncertainty in the markets.
Due to the recent turbulent economic situation, there has been an increase in demand for an original index that shows stock market fluctuation through investor sentiment. Nikkei has developed this index to accommodate these requests. For information on the calculation method and for the index value, please contact a Nikkei Representative or click here for the index guide.
The Nikkei China Related 50 Index is an index containing the top 50 Japanese companies ranked by their operations in China. The index will be launched on December 13th and the constituents will be selected from major Japanese companies with large market capitalisations, from the standpoint of how actively they are involved in China using newspaper articles published by Nikkei (such as how frequently China related articles are carried) and their annual financial reports.
The index has been created to reflect the rapid economic growth of China and to analyse and evaluate the performance of Japanese companies that use China as a major production base or market place. Further details of the index, including the calculation method and selection criteria can be found here.
If you would like further information, please contact a Nikkei Representative. |
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15th October 2010
Nikkei Europe Exhibiting at Online Information 2010 Conference
Nikkei will be exhibiting the NEEDS service during the Online Information conference at the Kensington Olympia from the 30th November - 2nd December 2010. The event attracts information industry insiders from all over the world and is free to attend by registering here. Nikkei will be providing online demonstrations of Financial QUEST and Tick Vision.
The event is the annual event for the global information and information management industry, attended by over 9,000 industry specialists in 2009. Online Information 2010 will showcase everything you need to ensure that you are ready for the challenges and opportunities ahead. Featuring over 100 free seminars, the event is a must for anyone who uses, manages or sources information for business or research purposes.
Nikkei Europe will be in booth 604 and we will be on hand to demonstrate the download features and depth of data for Financial QUEST and the new Tick Vision data analysis and tick data download platform. We will also be demonstrating Nikkei’s news database service Telecom21, which contains over 30 years of Japanese economic and business news articles from the Nihon Keizai Shimbun and other Japanese business publications.
Admission is free to everyone registered in advance. If you are attending and wish to book a meeting with Nikkei prior to the event, please contact a Nikkei Representative and we can arrange to meet at a time and place of your convenience. |
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6th September 2010
Constituent Changes to the Nikkei 225 and Nikkei 300 Indices
Following the annual review of the Nikkei indices, Nikkei Inc has today announced two changes in the constituents of the Nikkei 225 and Nikkei 300. Mitsubishi Rayon Co, Ltd (3404) and Clarion Co, Ltd (6796) will be removed from the Nikkei 225 and Mitsubishi Rayon and Pioneer Corp (6773) will be removed from the Nikkei 300.
Mitsubishi Rayon will become a wholly own subsidiary of Mitsubishi Chemical Holdings Corp and is due to be delisted from the market on 28th September 2010. It will be replaced the same day by Nippon Electric Glass Co, Ltd (5214) which has been chosen due to an underweighting of stocks in the Materials sector.
Clarion Co will be removed from the index due to overweighting in the Technology sector on 1st October. It will be replaced by Tokyo Tatemono Co, Ltd (8804) in the Capital Goods sector. Nippon Electric Glass Co will have a presumed par value of 33.3333 yen and Tokyo Tatemono will have a presumed par value of 50 yen.
No constituents were removed due to low liquidity.
For the Nikkei 300, Mitsubishi Rayon will be replaced by Terumo Corp (4543) on 28th September and Pioneer will be replaced by J. Front Retailing Co, Ltd (3086) on 1st October. NEEDS users have been informed of the proposed changes, for any further queries, please contact a Nikkei Representative. |
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16th July 2010
Nikkei Europe Announces the Launch of TickVision - An Online Tick by Tick Analysis Tool
Nikkei Europe has today announced the launch of TickVision, a browser based download and data analysis platform for Japanese equities, futures and options tick data. TickVision provides analysis tools that allow brokers and analysts to determine Best Execution Cost, analyse the bid-ask spread, perform VWAP calculations and produce and update algorithmic trading applications.
The service contains over 10 years of individual equity tick data, stock index, JGB and JGB futures, equity options and stock index futures and options tick data.
TickVision is fully compliant with the new Tokyo Stock Exchange trading system, Arrowhead, and can easily handle the large volumes of data that the exchange produces. The Simulation tool allows users to view market changes as they happened, producing tick by tick replays of changes in VWAP, bid ask spreads, trading volumes, volatility and beta coefficient to the Nikkei 225 in graphical form that can be paused or slowed down for further analysis.
The platform also allows users to create portfolios of financial instruments that can be refreshed on a daily basis to keep up to date with portfolio changes. Daily summary data can be downloaded to complement existing portfolio reports.
As well as accessing the data through the analysis tools, users can also download daily order book tick data in csv format, providing the best eight bid and ask orders in the order book and all executed trades.
If you are interested in a demonstration of the service, please contact a member of Nikkei Europe. Please note that the software is currently available in Japanese only, if you are interested in an English language version of TickVision, please enquire with a Nikkei Representative. |
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28th June 2010
Japanese implementation of IFRS reporting and its effect on Investor Relations
What is the impact of Japanese companies switching to IFRS accounting standards and the quarterly disclosure and its effect on investor relations in Japan? This free whitepaper explains the perceived impact on investors and companies and is taken from a speech delivered by Professor Tetsuo Kitagawa, a member of the Accounting Standards Board of Japan and former analyst at Nomura, during the Nikkei NEEDS New Financial Data Conference in 2010. ...Read more |
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9th April 2010
Nikkei launches Dividend Index for the Nikkei 225
Nikkei Inc has today launched the Nikkei Stock Average Dividend Point Index which will chart the accumulated dividends of the constituents of the Nikkei 225 when investors hold the constituents for one calendar year. The index is calculated by substituting each constituent’s dividend per share into the formula for the Nikkei 225 and accumulating the value over one calendar year. The initial value for the index for 2010 has been calculated at 4.65 yen.
Nikkei has launched the Nikkei Stock Average DP to address the requirements of market participants who trade Nikkei 225 linked products and will allow investors to hedge the dividend fluctuation risk using a dividend index. In Europe and the United States, dividend indices have already been calculated and published; for instance the dividend index on the Euro STOXX 50 was first published in June 2008 and was followed last year by the FTSE 100 and S&P 500 in the UK and US.
Index Calculation
The index will be calculated from a base value of zero each calendar year, January to December with the final index value for the year published in the subsequent April when all dividends have been fixed. The final 2010 index value is due to be announced on April 1st 2011.
The index is calculated using the dividend per share for the constituent divided by the Nikkei 225 Divisor. This amount is then added to the Dividend Point index on the ex dividend date for each constituent. After the all of the constituents have fixed their dividends, the final value of the index for the year will be published. Further information on the calculation method can be found in the Guidebook.
Nikkei Stock Average DP (2009) has been calculated at 162.18 for 2009.
Dividend Index Futures
The Tokyo Stock Exchange has also announced Nikkei Dividend Index Futures will be listed on the TSE on July 26th. Further details of these futures can be found on the TSE website.
NEEDS Data
Nikkei Digital Media are currently in the process of organising a data service to provide the Dividend Index data, including backdated historical data and data relating to the dividends of individual stock via NEEDS. The index is currently available via QUICK and will become available on Nikkei’s online media such as Nikkei.com, Nikkei English News. Retroactive calculation of the Dividend Point Index will be available from 2004.
For further information on the changes, please contact a Nikkei Representative. |
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29th March 2010
Nikkei Announces Constituent Changes to the Nikkei 225 and Nikkei 300
Following announcements that four constituents of the Nikkei 225 and Nikkei 300 will form separate holding companies, Nikkei Inc has announced that Nippon Oil Corporation (5001), Nippon Mining Holdings (5016), SOMPO Japan Insurance (8755) and NIPPONKOA Insurance (8754) will be delisted from the indices today.
They will be replaced today with Nisshin Steel Co (5407) on the Nikkei 225 and Ryohin Keikaku Co (7453), Nissha Printing Co (7915) on the Nikkei 300. The Nikkei 225 and 300 will be calculated with 223 and 298 constituents respectively between 29th March and 1st April. JX Holdings, Inc (5020) and NKSJ Holdings Inc (8630) will be added on April 2nd to the Nikkei 225 with a presumed par value of 50 and Nikkei 300.
For further information on the changes, please contact a Nikkei Representative. |
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19th January 2010
Japan Airlines Delisted from Nikkei 225, 300 and 500 Indices
Japan Airlines (9205), a constituent of the Nikkei 225, 300 and 500, today filed for bankruptcy and corporate rehabilitation. The Tokyo Stock Exchange has assigned the stocks of Japan Airlines for delisting and as a consequence, Nikkei has today removed JAL from the Nikkei indices using today’s closing value of 5 yen. Replacing JAL will be Central Japan Railway Company (9022) for the Nikkei 225, Izumi Co (8273) for the Nikkei 300 and House Foods Corp (2810) for the Nikkei 500.
The new constituents will be added on 22nd January using their closing values of January 21st. On 20th and 21st January, the Nikkei 225 will be calculated with 224 constituents, Nikkei 300 with 299 and Nikkei 500 with 499.
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- Nikkei 225
Central Japan Railway Company (9022) with a presumed par value of 50,000 yen. To preserve the balance of constituents in the Nikkei 225, the stock has been selected for having the highest liquidity in the same industrial sector as JAL. |
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- Nikkei 300
Izumi Co, Ltd (8273) |
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- Nikkei 500
House Foods Corporation (2810) . |
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NEEDS users should be aware of this change. Should you require further information, please contact a Nikkei Representative. |
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