According to the closing price on June 30, 2004, the total market value of the constituent stocks of SSE 50 Index is 65.438+03.875 billion yuan, accounting for 45.15% of the total market value of SSE A 865.438+02 stocks; From the correlation point of view, the correlation coefficient between the daily logarithmic rate of return of SSE 50 Index and the daily logarithmic rate of return of SSE A Index was as high as 0.96 1 in 20041. This shows that the SSE 50 index is very representative and can reflect the overall trend of the Shanghai securities market.

During the period of 2004 1-6, the average daily trading volume and turnover of the constituent stocks of SSE 50 Index were 5.53 million shares and 4.3 billion yuan, respectively, accounting for 32.3% and 30. 1% of the average daily trading volume and turnover of SSE A shares. The good liquidity of the constituent stocks of SSE 50 Index is the basic guarantee for investors to purchase, redeem and arbitrage.

Compared with the calculation based on the proportion of tradable shares, the number of adjusted shares of constituent stocks with the proportion of tradable shares at the lower end of the range has greatly increased, and its influence on the whole index has greatly increased. For example, the circulation ratio of China Unicom is between 30%-3 1%, and the weighted ratio is increased to 40% according to the rules, and the number of shares in circulation has increased by nearly one third, greatly enhancing its influence on the index.

Through the study of ETF fund network, it is found that the influence distribution of 50 constituent stocks on the index is very uneven. The top ten influential stocks are: China Unicom, Changjiang Power, China Merchants Bank, baoshan iron & steel, China Petrochemical, Minsheng Bank, Shanghai Pudong Development Bank, Shanghai Airport, Sichuan Changhong, and Shanghai Automobile. The influence of these 10 companies on the index reached 50.55%.

Baidu encyclopedia -50ETF