Thomson Reuters has entered the equity index market for the
first time with a global range of 800 equity indices, intended
to help investors monitor global markets, benchmark specific
countries, regions, and sectors, and develop investment
For the derivatives market, the new indices’
arrival opens up the prospect of new ranges of equity futures
and options, perhaps offered by exchanges that do not already
list equity index derivatives.
A spokesperson for Thomson Reuters in London said the firm
was open to exploring licensing deals with any interested
exchanges, but that such arrangements would most likely be
"We’re open to discussion about possible
derivatives including ETFs, options, and swaps. We will look to
more than one exchange, although for specific variant indices
we may consider limited exclusives," the official said.
The new indices cover 44 countries and 18 regions,
overlaying global, regional and country classifications on to
The company hopes the methodology behind the indices and
their ease of access through desktops and data feeds, in
products such as Thomson Reuters Portfolio Analytics, Reuters
3000 Xtra, and Thomson Reuters Datastream, will attract
The indices will use a proprietary liquidity filter that
links liquidity and 'investability’, and selects
constituent equities based on price not volume, as traditional
"It has been well known in the academic community for
several years that the best measures of liquidity are price,
bid/ask spread and quote depth," the spokesperson said. "Volume
is not a bad indicator of liquidity but it is topped by these
three. If only one of the three is chosen to measure liquidity,
price has been shown to be the best discriminator of liquid
versus illiquid stocks."
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