Compilation And Establishment Of Changed Sample Index

Stock index is used to reflect the overall stock market trends, characterize the system risk of stock market, and indirectly as an indicator of national economic situation. As a consequence,it helps to expect reasonably the stock index and determine the investment strategy.But now the "distortion" phenomenon of Shanghai Composite Index has become more and more serious, which is reported by many published and referred as the "phenomenon of two-eight" and "good index performance does not mean making money". In this situation, the Shanghai Composite index doesn't fully characterize market any more. Thus, IPO'first day often bring an inflated index. On the one hand, the distortion of the Shanghai Composite Index will mislead the technical analysis of investors to make a deflected or even wrong decision. On the other hand, index distortion will seriously misguide the market supervision, or even mislead the decision of the economic policies.Therefore, it is so significant to amend the calculation of the Shanghai Composite Index.The amending of Shanghai Composite Index is nothing to the choice of sample,just because it's listed on all the stocks in Shanghai stock exchange market. There are several aspects to calculate the index:the weight set up, methods included in IPO, the date IPO included. Just because most studies have focused on the weight's setting,and the corresponding references can be mirrored. therefore, this article is to discuss in what way the new shares listed index, and the system adjustment solution of composite index. On the base, we amend the Shanghai Composite Index with a view to revised composite index to more accurately reflect changes of equity market characteristics.In connection with the limitations and deficiency of Shanghai Stock Index, this article discussed the presentation of Shanghai Composite Index from such points as fllowing:when and how the new shares to be included in, how to connect the price and index, and how to adjust the weights of variable samples.On the base, this article puts forward a new adjusted systemic solution, with time sery samples from Jul 14,2009 to Apr 2 2010 to validate. Compared with the original Shanghai Composite Index, the amended method of this paper is better to reflect the real trend of the stock market.