Mathematical Model Composition of Stock Price Composite Index: A Case Study of Malaysia Stock Exchange

Abstract

The objective of this study is to analyze the composition of the Kuala Lumpur Composite Index (KLCI). In the same time, this study calculated the base index for 2019 composition. Data collected in this study using the daily stock price from Thomson Reuters Datastream. This study also analyzed the annual report for 30 companies to calculate free float of common share issued in the market. The FBM KLCI calculated using market capitalization with free float consideration. The result indicates the value of FBM KLCI on 1st January 2019 is 1683.53. This study proved that the base value for index composite calculation is 25.95 Billion. The findings of this study will help investors to have a clear overview about the calculation of index composite namely FBM KLCI. The knowledge from this study will provide an accurate perspective regarding dynamic movement behavior of index composite in Malaysia.