Among them, the adjusted market value = ∑ (stock price × adjusted share capital), and the base period is also called divisor.
The benchmark date of the Shanghai and Shenzhen 300 Index is 65438+February 3, 20041,the benchmark date is 1000, and the adjusted market value of 300 constituent stocks is the benchmark date.
The adjusted share capital in index calculation is obtained by adjusting the share capital of constituent stocks according to the method of grading and filing. To calculate the adjusted share capital, two factors need to be determined: free circulation and grading. See Article 4.4 "Free Circulation" and Article 4.5 "Document Classification" for details.
When the list of sample stocks and capital structure change, or the market value of sample stocks changes due to non-trading factors after adjustment, the original divisor is corrected by "divisor correction method" to ensure the continuity of the index. See Section 5 "Step Correction" for details.
Others need to read:
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1, Introduction
The Shanghai and Shenzhen 300 Index is the first cross-market component index that reflects the comprehensive performance of A shares in Shanghai and Shenzhen stock markets. Its component consists of 300 large-scale and liquid stocks.
2. Sample space
The sample space of the Shanghai and Shenzhen 300 Index consists of A shares that meet the following conditions:
The listing time is more than one quarter, unless the daily average market value of A shares has ranked in the top 30 among all Shanghai and Shenzhen A shares since listing;
Non-ST, *ST shares, non-suspended shares;
It is in good operating condition, and there are no major violations of laws and regulations in the last year, and there are no major problems in its financial report;
There is no obvious abnormal fluctuation or market manipulation in the stock price;
Eliminate other stocks that should be eliminated as determined by the expert Committee.
3. Sampling method
In order to ensure that the index has broad and fair market representation and good investability, the Shanghai and Shenzhen 300 Index selects 300 stocks with large scale and good liquidity as sample stocks, and the sampling method is as follows:
Calculate the daily average transaction amount and daily average total market value of A shares in the sample space in the latest year (since the IPO);
Rank the daily average turnover of A shares in the sample space in the last year from high to low, and eliminate the last 50% of the stocks;
The remaining stocks are sorted from high to low according to the daily average market value of A shares in the latest year, and the top 300 stocks are selected as sample stocks.
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4.4 Free circulation
In order to reflect the stock price changes of the actual circulating shares in the market, the Shanghai and Shenzhen 300 Index excludes the non-circulating shares in the share capital of listed companies and the shares that are basically not circulating due to the nature of strategic shareholding or other reasons. The remaining share capital is called freely circulating share capital, that is, freely circulating.
Among the total share capital of A shares issued by the company, the restricted shares and the following six types of restricted shares are basically not circulated during the restricted sale period:
(1) shares held by the founder, family and senior management of the company for a long time.
(2) State-owned shares
(C) strategic investors holding shares
(4) freezing of shares
(5) Restricting employee stock ownership
(6) Cross-shareholding
The restricted shares explicitly announced by the listed company and the above-mentioned six types of shareholders and their concerted actions hold more than 5% of the shares, which are regarded as non-freely circulating share capital.
Free circulation = total share capital of A shares-non-free circulation share capital
CSI Index Co., Ltd. estimates free circulation according to various public information sources. For more information about free circulation, please refer to Appendix A..
4.5 Classification by gear position
The free circulation of listed companies may change frequently with time. In order to moderately maintain the stability of the index, CSI Index Co., Ltd. adopts the method of grading and relying on files when calculating the Shanghai and Shenzhen 300 Index, that is, according to the proportion of circulating share capital to the total share capital of A shares (that is, the proportion of free circulation), the total share capital of A shares is given a certain weighted proportion, and the share capital used to calculate the index remains relatively stable.
Free circulation ratio = free circulation/total share capital of A shares
Adjusted share capital = total share capital of A shares × weighted ratio
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5, index correction
In order to ensure the continuity of the index, when the list of constituent stocks changes, the share capital structure of constituent stocks changes or the market value of constituent stocks changes due to non-trading factors, the Shanghai and Shenzhen 300 Index adopts the "divisor correction method" to correct the original divisor.
5. 1 modified formula
The Shanghai and Shenzhen 300 Index is corrected by the divisor correction method, and the correction formula is:
In which: adjusted market value after correction = adjusted market value before correction+increased (decreased) adjusted market value.
From this formula, a new divisor (that is, a modified divisor, also known as a new base period) is obtained, and the future index is calculated accordingly.
5.2 The situation that needs to be corrected
Ex-dividend: where there is ex-dividend of sample stocks (dividends paid), the Shanghai and Shenzhen 300 Index will not be revised and let it fall naturally; The total income index of Shanghai and Shenzhen 300 is revised according to the ex-dividend reference price before the ex-dividend date of constituent stocks;
Ex-dividend: If the constituent stocks have rights issue or rights issue, the index shall be revised before the ex-dividend benchmark date of the constituent stocks, and the adjusted market value of the constituent stocks shall be calculated according to the newly-increased share capital and market value.
Adjusted market value after correction = ex-dividend quotation × ex-dividend adjusted share capital+adjusted market value before correction (excluding ex-dividend shares).
Suspension: when the constituent stocks are suspended, the real-time index is calculated based on the closing price before the suspension until the resumption of trading;
Changes in share capital: changes in share capital caused by other changes in the share capital of constituent stocks (such as the issuance of new shares, the listing of rights issues and the listing of internal employee shares). ), the index should be revised before the sample share capital changes.
Adjusted market value after correction = closing price × adjusted share capital after change+adjusted market value before correction (excluding changed shares).
Sample stock adjustment: when the sample stock of the index is adjusted regularly or temporarily, the index will be revised before the effective date.