Shanghai Stock Exchanges reply to the reporters question on Revising the compilation of Shanghai Composite Index

category:Finance
 Shanghai Stock Exchanges reply to the reporters question on Revising the compilation of Shanghai Composite Index


Index compilation follows the scientific requirements, combing the sample space, sample selection method and sample adjustment of Shanghai Composite Index one by one, forming the revision direction of Shanghai composite index compilation. On this basis, it has organized and held many seminars on index compilation and revision, and recently established an expert consultation mechanism for index compilation, actively consulted fund companies, insurance asset management, index companies at home and abroad, universities, research institutes and other experts opinions and suggestions, and finally formed a revision plan for Shanghai composite index compilation, that is, to eliminate the stocks with risk warnings and delay the new share calculation At the same time, science and technology innovation board securities were included in the sample space of Shanghai Composite Index.

The implementation of the revised index compilation plan will further improve the market representation and stability of the Shanghai Composite Index, make the Shanghai composite index more accurately represent the overall performance of the Shanghai market, more fully reflect the changes in the market structure of Shanghai, and provide a better scale for investors to observe the operation of the market and carry out wealth management.

Question 2: why adjust the time when new shares are included in the Shanghai Composite Index?

A: the time for new shares to be included in the index is an important basic arrangement for the Shanghai Composite Index. Many market professionals believe that the inclusion of new shares on the 11th trading day of listing is not conducive to the accuracy and stability of the characterization of the Shanghai Composite Index. On the basis of fully learning from the beneficial experience of international representative index and objectively analyzing the characteristics of domestic new stock market, the new stocks are adjusted to be included in the Shanghai Composite Index.

The international representative index usually sets the time for new shares to be included in the index according to the market characteristics of the country and region. Generally speaking, new shares need to go through a full market pricing game before they are given the qualification to be included in the index. For example, new shares are not eligible to be included in the S & P 500 index until they have been listed for 12 months, and new shares are eligible to be included in the Stoxx Europe market index after they have been listed for 3 months. At the same time, in order to maintain the market representativeness of the index, some representative indexes will set a fast entry mechanism for new stocks with large market value. For example, Hang Seng Composite Index has set a fast entry mechanism for the 11th trading day of listing for the top 10% of new stocks with large market value.

At present, there are continuous fluctuation and high volatility in the initial stage of IPO in A-share market. From 2014 to 2019, there were 563 new shares listed in Shanghai stock market, with an average of 9 consecutive trading days after listing, and 217 new shares with more than 10 consecutive trading days. It is not conducive for the Shanghai Composite Index to objectively reflect the real performance of the market that new shares are included in the trading price. From 2010 to 2019, the volatility of the average return of new shares in Shanghai stock market in one year is about 2.9 times that of the Shanghai Composite Index in the same period, which is not conducive to the stability of the Shanghai Composite Index.

Therefore, the time for new shares to be included in the Shanghai composite index is delayed to one year after listing. Considering that the time required for the price stability of new stocks with large market value is generally shorter than that of new stocks with small market value, in order to maintain the good representativeness of the Shanghai Composite Index, the new stocks with large market value ranking the top 10 in the Shanghai stock market in terms of the daily average market value since listing will be included after 3 months of listing.

Question 3: why does the removal of risk warning (st, * st) stocks from Shanghai composite index sample affect the positioning of composite index?

A: Chinas capital market has established a risk warning system. The stocks subject to risk warning have high risks, and the fundamentals are uncertain. The investment value is affected, which is difficult to represent the mainstream situation of listed companies. Eliminating the stocks with risk warning will help Shanghai Composite Index to better play its investment function and better reflect the overall performance of Listed Companies in Shanghai stock market.

Many international major composite index samples only include the vast majority of stocks in the market. For example, the Nasdaq composite index excludes the stocks in the Nasdaq market as the second listing place, and the Stoxx Europe market wide index and the Hang Seng Composite index only cover 95% of the market value. As of the end of 5, the Shanghai composite index sample includes 85 stocks subject to risk warning, with a total weight of 0.6%. Therefore, excluding the stocks with risk warning will not affect their composite index positioning.

Question 4: what are the considerations for bringing science and technology innovation board securities into the sample space of Shanghai Composite Index?

Considering that the revision of the Shanghai composite index involves the adjustment of new shares entry time, science and technology innovation board securities are included into the Shanghai composite index according to the revised rules, which is conducive to ensuring the stability and continuity of the rules of the Shanghai Composite Index. Question 5: will the implementation of the revision of the Shanghai composite index affect the continuity of the index and investors observation of the market? A: the implementation of the revision of the Shanghai composite index is based on the practice of the adjustment of the international representative index. It is planned to adopt a seamless connection, that is, the points on the effective date of the change of the index preparation plan are seamlessly connected with the points on the previous trading day. The real-time points on the effective date are calculated based on the closing points on the previous trading day and the daily fluctuation of the sample shares. Therefore, the implementation of the compilation and revision of Shanghai Composite Index will not affect the continuity of Shanghai Composite Index and the investors observation of market conditions. Extended reading of Shanghai Composite Index to meet the overhaul to promote the barometer of the stock market. Actually, the first revision of Shanghai Composite Index in 30 years reflects the color of Chinas economic constituent stocks. What was discussed in the special consultation meeting before the plan of Shanghai Composite Index to meet the big reform came out? Source of this paper: Shanghai stock exchange responsibility editor: Zhong Qiming_ NF5619

A: the implementation of the revision of the Shanghai composite index is based on the practice of the adjustment of the international representative index. It is planned to adopt a seamless connection, that is, the points on the effective date of the change of the index preparation plan are seamlessly connected with the points on the previous trading day. The real-time points on the effective date are calculated based on the closing points on the previous trading day and the daily fluctuation of the sample shares. Therefore, the implementation of the compilation and revision of Shanghai Composite Index will not affect the continuity of Shanghai Composite Index and the investors observation of market conditions.