The Research On The Making Theory Of Stock Price Index

It has been 100 years since Stock price index was introduced. In this 100 years, people have been having great interest on it. More and more people start research and development on stock price index, thus, derivative products such as index fund, index future are created which in turn transforms its nature from being measurement purpose into investment purpose. In capital market, the thing that can catch such high attention by the public is no others but stock price index. Not only investors and researchers concern about it, government officials and common people also pay high attentions to it.Even so, few truly have deep knowledge about stock price index. Maybe quite a lot of people are researching on stock price index, but few carry out the research on the making of stock price index. This article mainly does research on the making methods of stock price index. It belongs to the research using statistical approach. Its main flow of thinking is:use index theory as the foundation, research on how stock price index making theories have evolved over the time, how it merge with weight theory and industry classification theories. Furthermore, it has research on stock price index theory itself, perform classification, analysis and summary on varied the making methods of stock price.Chapter 1 is Introduction. It serves as the overall description of the dissertation, which includes the background of the research and topic selection explanation, the purpose and significance of the research by this dissertation, as well as the explanations on relevant concepts. In addition, it illustrates various kinds of stock price indexes by classification, also explains the function of stock price index. Furthermore, it includes the structural arrangement of dissertation, approaches of the research, main innovations and insufficiencies.Chapter 2 is the Theories of Price Index. This chapter carries out systematic study on price index theories, first by vertical arrangement through chronological aspect, then by horizontal study and analysis through theoretical genre; also includes the systematic analysis on making formulas of price indexes. It divides the structure of the index formula into four generations, which are 1st generation index,2nd generation index,3rd generation index and 4th generation index, respectively. It then compares and analyzes the making formula of the stock index, which includes the comparisons between simple indexes, comparisons between weighted indexes, and comparisons between simple index and weighted indexes; It compares and analyzes the commonly seen Laspeyres index, Paasche index and other modified weighted indexes. Lastly, it observes the evolution of stock price index making formulas, and through the development of price index theories, leading to the reflection on the development path of the making of stock price index theories.Chapter 3 is the Basic Theories of Stock Price Index Making. This chapter is the core of the dissertation, mainly includes carding of stock price index origins and theoretical developments, summarizes and concludes the making principles and methods of stock price index. Then, it designs the process of stock price index, and carries out the research and analysis on the application of stock price index making theories, at the same time performs theoretical analysis and case comparisons on equal weighted, price weighted and market price weighted these three different indexes makings methods. Finally, this chapter also studies thoroughly on stock price index modification theories, and gives out the possible realistic modification formulas; also presents the theoretical research on other theoretical questions of stock price index makings such as free circulate quantity, buffer zone, banding theory, when to include newly listed stock into index, and open trading index and close trading index.Chapter 4 is the Component Stock Making and Industry Classification Theories.This chapter is also the core of the dissertation. It is the in-depth study on stock price index making theories. There are two main parts, part one is the theoretical summary and research on component stocks makings. This part mainly includes the selection principle, selection standards and methods for sample stocks, performing summarized carding as well as comparison and evaluation on sample stock selection standards domestic and abroad. Also includes the adjustment of sample stocks, this is the important link of component stock making. Adjustments are classified as regular adjustment and temporary adjustments. This dissertation uses Hushen 300 index and Shenzhen 100 index as examples to analyze and compare regular adjustment and temporary adjustment; furthermore summarizes and concludes some current international rules on sample stock adjustments. The other part of this chapter is about industry classification theories. This part first cards on the theoretical developments of industry classification, then analyzes the evolution of industry classification theories through management style industry classification and investment style industry classification these two aspects. Management style industry compares and analyzes ISIC, NAICS and standard by our National Statistics Bureau, while investment style industry classification mainly compares and analyzes GICS and ICB. Lastly, it also carries out comparison research on various industry classification methods which are by China Securities Regulatory Commission Guidelines, by China Security Index Co.Ltd. and other domestic institutions, thereafter, evaluates and raises proposal on our domestic industry classification standards.Chapter 5 is the study on other types of stock index making. This chapter is the core part of the dissertation, too. It mainly researches on some important stock index makings which are available but not concerned by majority. It includes the study on industry classification index making home and abroad, style index making, divident index making, fundamental index making and other particular index making such as BRIC Index, Sustainable Development Index, Social Responsibility Index, Corporate Management Index, Environment Opportunity Index and so on. In this chapter, Style Index and Fundamental Index are the emphasis, especially Style Index. We conduct systematic observation, analysis as well as comparison evaluation on style indexes by four major index making companies, at the meantime also compares and analyzes style indexes of our Shanghai and Shenzhen stock market against those style indexes abroad.Chapter 6 presents some ideas on the making of stock price index. This chapter concludes some existing problems in index making methods home and abroad after carrying out research on the whole situation of stock price index making methods, more importantly it raises some ideas and suggestions. This includes using cumulative trading quantity as the weights to make a new-style stock index (This is never used in practice, nor raised out by theoretical circle), industry weighted problem of component stock index, in addition, further study and research on existing problems of our domestic stock index making methods.