Sse 50 Index Constituent Stocks Select Empirical Research

Chinese capital market has expanded dramatically since the split share restructures reform in 2005. The percentage of market capitalization of listed companies to GDP is growing steadily. When to launch the stock index futures has been one of the hottest speculations as Chinese capital market is growing more mature.This thesis studies the evolution of the Shanghai Stock Exchange 50 (SSE 50) Index. First, I compare the groups of stock additions and deletions of the index's 63 adjustments. Then the thesis analyzes the characteristics of those samples remain in the index. Further, I examine the industry distribution of these 50 sample stocks and compare the samples included in the index with the matched non-index samples in each industry. Then, some basic characteristics of the benchmark index are discussed. Finally, I conclude the feasibility of the Shanghai Stock Exchange 50 Index as a benchmark index of stock index futures.According to the t-test of these two groups, the stocks which have bigger market capitalization, higher profitability and growth rate are moved into the index. While the stocks with smaller market capitalization, weaker profitability, and weaker growth rate are more likely to be deleted from the index. The characteristics of the unchanged sample stocks are similar to the sample stocks added to the index. Most sample stocks performed better than matched sample stocks in each industry.As a benchmark index of the stock index futures, the Shanghai Stock Exchange 50 Index has the characteristics such as high market coverage, superior industry representation and higher correlation with the overall market. However, the index is unstable, which is the biggest weaker of the index as a benchmark index of stock index futures.