I have 300+ financial time series from an "unknown" asset class.
To study the dynamic properties of class my idea was to collect them under an "index" and then study it as an univariate time series. I computed the 3 kind of indexes (price-, market-, equally-weighted) and studied them for my master's dissertation (ARMA + GARCH and forecasting).
This idea comes out as, for example, it is universally accepted to study the US equity market via inspecting the time series of S&P500 (market-weighted index), the Japanese equity market via Nikkei (price-weighted index) and so on.
I want to deepen in this "thing" from a statistical standpoint, but I fail in finding any resource that help. Any insight and/or reference on the topic are welcome.