Shanghai Composite Index welcomes overhaul and promotes barometer of stock market

category:Finance
 Shanghai Composite Index welcomes overhaul and promotes barometer of stock market


As for whether the index revision will affect the continuity of the index and the investors observation of the market, the first financial reporter learned from the Shanghai stock exchange that the compilation and revision of the Shanghai composite index is planned to be carried out in a seamless connection way, drawing on the practice of the compilation and adjustment of the international representative index.

That is to say, the effective date point of index preparation scheme change is seamlessly connected with that of the previous trading day, and the real-time point of the effective date is calculated based on the closing point of the previous trading day and the fluctuation of the sample stock on that day. 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.

Fully incorporate new elements

The Shanghai stock exchange immediately responded to these calls. On May 29, the Shanghai Stock Exchange publicly said that it would fully listen to the opinions of all parties in the market and learn from international best practice experience when studying the improvement scheme of the preparation method of the Shanghai Composite Index; on June 6, the Shanghai Stock Exchange said that it had established an expert consultation mechanism for index preparation, and the first expert consultation meeting for index preparation will be held in the near future.

On June 19, the Shanghai Stock Exchange released three aspects of the index revision.

Second, the newly listed securities ranking in the top 10 of the Shanghai stock market with daily average market value are included in the index after three months of listing, and other newly listed securities are included in the index after one year of listing.

Li Xunlei, chief economist of Zhongtai securities, once said that with the further promotion of the delisting system of a shares and the survival of the fittest, the withdrawal of underperforming shares may increase significantly, and it is also necessary to eliminate the stocks with greater delisting risks such as st in the index, so as to avoid the drag and distortion of the index caused by the delisted stocks.

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%. Excluding the stocks with risk warnings will not affect their composite index positioning. Said a person related to the Shanghai Stock Exchange.

Wang Zhaoyu, senior vice president of Research Department of CITIC Securities Research Institute, said that due to market structure, there was a large price fluctuation in the initial stage of IPO. With the promotion of the registration system reform, the phenomenon of large fluctuation and overestimation in the initial stage of IPO will be improved, and the impact of early listing of new shares on the Shanghai Composite Index will be reduced. However, the change of market structure will take a long time, and it is necessary to extend the time for new shares to be included in the transitional period.

In the view of the relevant people of Shanghai Stock Exchange, it is not conducive to the objective reflection of the real market performance of the Shanghai composite index when new shares are included in the price limit, and it is not conducive to the stability of the Shanghai composite index when high volatility new shares are included. At present, there are continuous fluctuation and high volatility in the initial stage of IPO in A-share market.

Science and technology innovation board 50 index is about to be launched, 1000 basis points

From July 22, 2019 to July 22 this year, the first anniversary will come to an end. Although the operation time is not long, the role of scientific and technological innovation board in the A-share market has been very important. The market has long been calling for the inclusion of science and technology innovation board shares in the Shanghai Composite Index.

Science and technology innovation board listed companies are mainly science and technology innovation enterprises, which is an important direction of Chinas economic development in the future. Including science and technology innovation board securities helps to improve the structural characteristics of the Shanghai Composite Index industry and better reflect the changes in market structure. According to an analysis by a professional from huitianfu fund, the market of science and technology innovation board has developed steadily and rapidly, and the number and scale of listed companies have continued to grow, which has become an important part of Shanghai market. Including science and technology innovation board securities helps to improve the market representation of Shanghai Composite index.

According to the Shanghai Stock Exchange, the 50 component index of Shanghai Science and Technology Innovation Board will be composed of 50 securities with large market value and good liquidity. The index will reflect the overall performance of the most representative group of science and technology innovation enterprises in the market.

According to the first financial reporter, 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.

In addition, the reporter was informed that the exchange took into account the objective development and institutional characteristics of the science and development board. At the present stage, the new stock market will be included in the sample space 6 months after the IPO is listed, and 100 -150 will be listed on the stock market for 12 months after the IPO is listed. It will be included in the 12 months after the listing.

Dispute weighting method

The speed of Shanghai Stock Exchange to start and improve index compilation is faster than the market expectation, but the suggestions of changing weighting methods put forward by the industry in the early stage have not been fully reflected this time.

According to the reporter, Xu Guoxiang, director of the center for Applied Statistics and doctoral supervisor of Shanghai University of Finance and economics, once proposed that the Shanghai Composite Index adopt total equity weighting when it was launched in 1991, which was in line with the mainstream method at that time. However, in recent years, the index adopt free circulation equity weighting as the trend.

Changing the index weighting method to free circulation equity weighting will enable the index to be weighted based on the real tradable shares in the market, improve the weight of emerging industries such as information technology, and make the Shanghai Composite Index better reflect the structural characteristics of the Shanghai market. The said huitianfu fund people also said.

However, there are also neutralists who believe that this issue should be treated dialectically according to the circumstances.

There are many functional orientations in the stock index, some of which are more inclined to represent the market and some of which are more inclined to track investment.

Public offering institutions pay more attention to index weighting. The head of quantitative investment department of Huaxia Fund said that the change of index weighting method from total equity weighting to free circulation equity weighting would lead to great changes in equity of index sample, and the functional positioning of index should be fully considered. The weight of free circulation equity is determined on the basis of free circulation shares in the market, which is more suitable for the benchmark index of investment, while the weight of total equity is determined on the basis of total shares issued, which is more suitable for representing the change of overall market value.

If the index is expected to play more investment functions, the index weighting method should be changed to free circulation equity weighting; if the index is expected to play more historical characterization functions, the total equity weighting should be maintained. In addition, if you change the weighting method, you need to pay special attention to that the weighting of free circulation equity will increase the small cap equity to a certain extent. He said.

Li Xiaowei, deputy general manager of Wells Fargo fund, also said that we should objectively and accurately understand the impact of improving the compilation method on the representativeness and investability of the Shanghai Composite Index. The historical usage habits of investors should be fully considered when changing the index weighting method. The influence of changing the weighting method on index users can be reduced by the way of seamless connection of index points before and after the rule change and the way of distributing the weighted reference index of total equity. Changing the weighting method has a greater impact on the index, so more considerations and trade-offs are needed for measures to change the weighting method. Xu Shuo, vice president of Mingsheng index research department. In addition, Wang Sheng, deputy director of Shenwan Hongyuan Securities Research Institute, said that it is recommended to maintain the weighting method of total equity unchanged, but the preparation of the corresponding comprehensive index weighted by free circulation equity can be considered to facilitate the operation of products in the future. Source: First Financial Editor: Yang Bin_ NF4368

Li Xiaowei, deputy general manager of Wells Fargo fund, also said that we should objectively and accurately understand the impact of improving the compilation method on the representativeness and investability of the Shanghai Composite Index. The historical usage habits of investors should be fully considered when changing the index weighting method. The influence of changing the weighting method on index users can be reduced by the way of seamless connection of index points before and after the rule change and the way of distributing the weighted reference index of total equity.

Changing the weighting method has a greater impact on the index, so more considerations and trade-offs are needed for measures to change the weighting method. Xu Shuo, vice president of Mingsheng index research department.

In addition, Wang Sheng, deputy director of Shenwan Hongyuan Securities Research Institute, said that it is recommended to maintain the weighting method of total equity unchanged, but the preparation of the corresponding comprehensive index weighted by free circulation equity can be considered to facilitate the operation of products in the future.