Compilation method of stock index futures index
At present, there are three main methods for compiling stock index, namely arithmetic average method, geometric average method and weighted average method.
Arithmetic method
The method is to select representative sample stock index futures, take a certain day of a month as the base period, determine the base period index, then calculate the average price of sample stock index futures on a certain day, compare it with the average corresponding to the base period, and finally multiply it by the base period index to get the average price index of stock index futures on that day.
Geometric average method
Some influential stock index futures indexes in the international financial market are compiled by geometric average method, among which London Financial Times Index and American Value Line Index are the representatives. In the geometric average method, the average price of stock index futures in the reporting period and the base period adopts the geometric average of sample stock index futures prices.
weighted average method
Different stock index futures have different positions, which have different influences on the stock index futures market. Firstly, the weighted average method gives different weights to the sample stock index futures according to their different positions in the market, that is, the important weight is great and the secondary weight is small; Then the price of each stock index futures is multiplied by its weight and summed, and then divided by the total weight to get the average stock price of the reporting period and the base period calculated by the weighted average method; Finally, the price index of stock index futures is calculated accordingly. The choice of the weight of the weighted average method can be the transaction amount of stock index futures or the number of listed stocks. If the same measurement factors in the calculation period are selected as weights, it is called Paasche weighting method.
Compared with the first two methods, the weighted average stock price index can more truly reflect the overall market trend, so the weighted average method is more suitable for developing the underlying index of stock index futures contracts.
Compilation methods of SSE 50, CSI 500 and CSI 300 indexes
SSE 50 Index
SSE 50 Index is compiled and maintained by CSI Index Co., Ltd., and the constituent stocks are sample stocks of SSE 180 Index. Stock index futures are comprehensively ranked according to the total market value and transaction amount, and the top 50 blue chips are selected. The index draws lessons from the mature compilation concept of the international market, and adopts advanced technologies such as adjusting the weight of licensing rights, grading documents, and adjusting sample buffering.
CSI 500 Index
The CSI 500 Index is compiled and maintained by CSI Index Co., Ltd., and its constituent stocks are composed of the top 500 stock index futures in Shanghai and Shenzhen stock markets after deducting the Shanghai and Shenzhen 300 target stock index futures. The compilation method of this index is the same as that of the Shanghai and Shenzhen 300 Index.
Shanghai and Shenzhen 300 index
The Shanghai and Shenzhen 300 Index takes the adjusted share capital as the weight and is obtained by grading the freely circulating share capital. The Shanghai-Shenzhen 300 Index is weighted by the adjusted freely circulating share capital instead of the total share capital, which can more truly reflect the stock price changes of the actual circulating shares in the market, thus effectively avoiding the manipulation of the index through large-cap stocks.
The adoption of grading filing technology ensures that the amount of share capital used for index calculation is relatively stable when the share capital of the sample company changes little, thus effectively reducing the tracking cost caused by frequent changes in share capital. The Shanghai and Shenzhen 300 Index samples are adjusted to set the buffer. Using buffer technology can control the range of each adjustment to a certain extent, and the indicators can maintain good continuity.