On the whole, the delegates at the meeting basically agreed that it is necessary to revise the Shanghai Composite Index preparation plan, so as to more accurately capture the performance of Shanghai stock market. In terms of specific measures, it is suggested to include science and technology innovation board securities, extend the time for new shares to be included, and eliminate st and * ST shares. There are still some differences in the way of adjusting weighting.
In addition to the adjustment of the Shanghai Composite Index, the 50 component index of Shanghai Science and technology innovation board, which is highly praised by the market, has finally been released.
It is understood that the 50 component index of science and technology innovation board has drawn on the mature experience of domestic and foreign markets, and fully considered the system characteristics and objective situation of science and technology innovation board. The index is based on December 31, 2019, with a base point of 1000. The sample space includes the stocks listed on the science and technology innovation board and the depository receipts issued by red chip enterprises and listed on the science and technology innovation board.
Three adjustments of Shanghai Composite Index
From the public voice of many previous experts, the discussion on how to optimize the Shanghai composite index mainly focuses on the company structure, the time of new shares, whether to exclude ST shares, index weighting, etc.
In order to fully listen to the opinions of all parties in the market and learn from international best practice experience, the Shanghai Stock Exchange has established an expert consultation mechanism for index compilation, and held a special consultation meeting on June 15 on the revision of Shanghai composite index compilation plan.
The reporter learned that the market institutions and experts and scholars at the meeting unanimously suggested that science and technology innovation board securities should be included in the Shanghai Composite Index.
On the one hand, the science and technology innovation board is an important part of the Shanghai market, and the Shanghai composite index reflects the comprehensive index of the Shanghai market. The science and technology innovation board securities should be included in accordance with the revised plan of the Shanghai Composite Index. On the other hand, the science and technology innovation board covers many science and technology innovation enterprises. The science and technology innovation board securities inclusion also helps to improve the representativeness of the Shanghai Composite Index, increase the proportion of science and technology innovation emerging industries, and more Reflect the development and change of Shanghai market.
In the interview, Liu Ninghui, director of the Ministry of investment and quantitative management of Ping an information management, said that counting into the securities of the Chuang Chuang board is helpful to improve the advanced and representativeness of the Shanghai Composite Index. Most of the listed companies in the science and technology innovation board are in emerging industries, which is the direction of vigorous development in the future. The Shanghai composite index should not be absent from the science and technology innovation board.
With the coming out of the scheme, there is a final conclusion on the issue of when the new shares will be included.
The plan extends the time for new shares to be included in the Shanghai Composite Index 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.
In the aspect of excluding st, * ST and other stocks, there were some views that the Shanghai composite index is an index of all listed companies in the whole market, and there are a large number of listed companies with small profits or losses in this market, which should be reflected in the stock index.
Data shows that as of the end of May, the Shanghai composite index sample contained 85 stocks subject to risk warning, with a total weight of 0.6%. The Shanghai Stock Exchange said removing the stocks with risk warnings would not affect its composite index positioning.
Li Xunlei, chief economist of Zhongtai securities, who participated in the meeting, also told reporters, with the further promotion of the delisting system of a shares and the survival of the fittest, the withdrawal of poor performing shares may increase significantly. It is also necessary to exclude the stocks with greater delisting risk such as St from the index, so as to avoid the drag and distortion of the index caused by the delisted stocks.
The modification of weighting method should be carefully evaluated
The improvement of weighting method is also a hot topic of discussion on the revision of Shanghai Composite Index.
The reporter learned that compared with the above three points, the weighting method has a greater impact on the index points, and the opinions of the participants also have some differences.
Some experts believe that the total equity weighting should be changed to the free circulation equity weighting method, which is in line with the international mainstream index compilation practice, and more accurately reflects the real price game in the market, improves the investability of the Shanghai Composite Index, and more in line with the investment benchmark requirements.
Li Xunlei pointed out that most of the international mainstream indexes are weighted by circulating equity. In the European and American markets, even if the total equity weighting (such as NASDAQ Composite Index) is adopted, the difference between it and the weighting of circulating equity will not be too large, because it is not like a share, which has a large number of national legal person shares and other unrealistic circulating equity.
Wang Zhaoyu, senior vice president of Research Department of CITIC Securities Research Institute, believes that changing the index weighting method can help to reflect the structural market situation and reduce the cognitive bias of investors. In the past, the market has been in a structural market. Due to the weighting of total equity, the weight of the Shanghai composite index is concentrated in individual industries such as finance and energy, forming a market phenomenon of individual stocks rising and index not rising, resulting in investors cognitive bias. Changing the index weighting method will make the weight of the Shanghai composite index more decentralized and more accurately reflect the real investment performance of the market, which will help to reflect the structural market situation.
However, some experts and scholars think that it is prudent to modify the weighting method. Considering historical consistency and comparability, it is suggested to observe and evaluate and advance step by step.
Changing the index weighting method has a great impact on the index, and the functional positioning of the index itself should be fully considered. The change of index weighting method from total equity weighting to free circulation equity weighting will lead to great changes in the equity of index sample, so the index function positioning should be fully considered. Huaxia Fund quantitative investment department head told reporters.