/KASE, March 17, 11, the last 8 paragraphs have been amended and supplemented/ -
Following a decision of Kazakhstan Stock Exchange (KASE) Management Board of
March 15, 2011, amendments # 1 (Amendments) to KASE internal document
"Methodology on determination of securities' liquidity indicators" (Methodology)
have been approved and are effective from March 15, 2011.
The Amendments stipulate the following:
1. The periodicity of composing lists of liquid and illiquid securities has been
amended. According to the amendments, these lists will be composed by the
Exchange once every two months, and not quarterly as was meant before.
2. Lists of liquid and illiquid securities will be formed on the twenty third
date of each odd month of each year (or on the following day if such date
coincides with a day-off or holiday in Kazakhstan) and will be effective
beginning from the first date of the month following the month when the
mentioned lists were composed.
3. A permanently valid threshold value for the securities' liquidity indicator
has been set at 0.700. Securities characterized by an equal or higher value
of the liquidity indicator will be included into the list of liquid
securities, the rest - into the list of illiquid securities. Previously, KASE
Management Board reviewed the threshold value on a quarterly basis.
4. For composing the lists of liquid and illiquid securities, KASE calculates
values of the securities' liquidity indicator for each denomination out of
securities included in KASE lists, based on parameters of transactions which
were made in given securities in KASE trading system within sixty calendar
days preceding the settlement date. Previously, calculations included
parameters of deals made during two consecutive quarters preceding the month
in which the mentioned lists were composed.
The amendments have been made in order to simplify the composing procedure
for lists of liquid and illiquid securities and for standardization of criteria
according to which shares being traded on Kazakhstan's organized stock market
are classified as liquid.
Currently, in accordance with various KASE's internal documents and regulating
acts of the Agency of the Republic of Kazakhstan on Regulation and Supervision
of Financial Market and Financial Organizations (FSA), at least four shares
lists considered as the most liquid depending on the purpose exist on
Kazakhstan's market:
- KASE Index's representative list formed by KASE in accordance with KASE's
internal document "Methodology of Calculation of Stock market Indicators";
- list of liquid shares formed by KASE in accordance with the Methodology with
purpose of using rules of KASE's internal document "Regulations of Trades and
Confirmation System Operation";
- list of liquid shares composed by KASE on the first working day of each week
with purpose of market valuation in accordance with KASE's internal document
"Methodology of Securities Valuation";
- list of shares with an active market composed by KASE according to Rule # 109
for Assessment of Financial Instruments in Accumulative Pension Funds'
Investment Portfolios, approved by FSA Management Board on March 28, 2005.
Each of the above-mentioned lists is formed in line with equal basic liquidity
criteria: volume and number of deals, number of effective trading days in a
period, number of KASE members making deals in the considered period. However,
digital values of criteria and their application methods are different, which
effectively means existence of four lists.
Amendments made to the Methodology will allow KASE to use lists of liquid and
illiquid shares formed in accordance with the Methodology for establishing the
schedule for trading in shares, as well as for carrying out market evaluation of
shares (after introduction of respective amendments in to the Methodology of
Securities Valuation).
The Methodology's revised text is available on KASE website, at
http://www.kase.kz/files/normative_base/metodika_liquid.pdf
[2011-03-17]