| With the rapid development of China’s economy, China’s GDP has grown from 1990 in 1.8 trillion to 2014 in 63.6 trillion, increased by 34 times. At the same time, China’s securities market has experienced rapid growth, according to the stock exchange of the world (WFE) statistics, as of the end of May 2015, the Chinese a-share stock market reached $10.27 trillion, ranking second in the world. Though, from the total amount index, the Chinese stock market is among the top of the world. However, compared with developed countries, china’s stock market system and the actual operation of capital market still have larger gap. China’s stock market has administrative intervention and strong speculative atmosphere, and today also cannot effectively play the role of economic resource allocation or reflect the role of the barometer of economic growth.A mature securities market share index can truly reflect the running status of the domestic economy. The standard & poor’s index, for example, since the launch for nearly 60 years of history, is one of the important index which still reflect the U.S stock market and economic operation. Compared with developed markets, the leading index is the index of the stock market in our country, whether from the government’s decision-making, media reports and investor decision-making reference mark, it has been widely accepted by investors in China. However, after the large-cap stocks ICBC, Agricultural Bank of China, Bank of China and the "petrochemical Hutch" has been launched in the stock market, they led to a complete imbalance in the internal structure of the Shanghai Composite Index, on the other hand because of problems resulting from the preparation method, the Shanghai Composite Index represents the presence of the super heavyweight great leverage. Although the Commission’s intention is to use its leverage through the heavyweight to control the market, but these can be also exploited by big money, who can use it as a tool to manipulate the market for quick profits. The Shanghai Composite Index heavyweight affected by the existence of distortion and manipulation susceptible to health issues are harmful for the development of the securities market. In this paper, through comparison and analysis of main share price index at home and abroad, research the Shanghai composite index on the compiling method of defects and distortion. To study the effect of leverage shares on the Shanghai composite index, and the Shanghai composite index for the harm done by the Chinese stock market and the stock index futures market and the potential risks. The purpose is to point out the flaws of the Shanghai composite index, which has not adapt to the development of the current Chinese stock market. Based on the experience of the foreign mature capital market, should use the formulation of a more scientific composition index as the leading index of the Chinese stock and guide the healthy development of China’s capital market actively in the future.The main content of this paper is as follows:Chapterl,Introduction.Mainly introduced the research background, significance and the paper structure arrangement. Points out the defects of the benchmark Shanghai composite index and should weed out the significance of the Shanghai composite index and use the component index.Chapter2,the world’s main price index analysis. This chapter mainly introduces circulation market value weighted method and comparison on the three weighting methods, points out that the current market value weighted compared the superiority of the total market capitalization weighted way. Finally, by comparing the world’s main price index of the top 10 weight proportion of shares in circulation, leverage ratio, concentration of different weights, found that the weight of the Shanghai composite index fixed concentration is much higher than other index.Chapter3,the analysis to the history price of the heavy stock and the Shanghai composite index. This chapter select slump in the history the benchmark Shanghai composite index jumped six times, by comparing the period heavyweight with the Shanghai composite index, found that both in time and fall there is a big match. The heavyweight is verified from the direction of the great influence of the Shanghai composite index. Finally, from the heavyweight own leveraged amplification effect, small follow effect and heavyweight linkage effect, to explain the heavyweight fundamental reason for the huge influence on the Shanghai composite index.Chapter 4,heavyweight and small-cap stocks in the Shanghai empirical study of the impact of the Shanghai composite index.This chapter from the perspective of empirical validation heavyweight effects on the Shanghai composite index. By Johansen cointegration test and established vector error correction model, the final result shows that:(1) in the long run, among the Shanghai composite index, Shanghai small index, the oil and industrial and commercial bank of China, there exists a long-term cointegration relationship, and oil and industrial and commercial bank of China as a heavyweight are the obvious effects on the Shanghai composite index, and smaller in the Shanghai index has little effect.(2) in the short term, the Shanghai composite index biggest influence short-term fluctuations in China’s oil and is positive, the second is the industrial and commercial bank of its influence to reverse.Chapter 5,the analysis of the defects of the Shanghai composite index. This chapter mainly from the distortion of the benchmark Shanghai composite index, maneuvering weak resistance and can not effectively reflect the reality of the stock market and real economy situation. Among them, the Shanghai composite index distortion is the main index of distortion and distortion of the p/e ratio, distortion performance index for inflated fell. The bank stocks by earnings per share calculation step, low p/e ratio greatly lower the overall price-earnings ratio, the Shanghai makes cannot reflect the real market situation, the most stock p/e ratio is high, this is the p/e ratio distortion. The second aspect, from free flow rate is low and heavyweight turnover rate is low, it can be seen that the Shanghai composite index cannot really reflect the whole picture of the market, and the GDP growth rate and index trend, bank index and index trend analysis, it can be seen that the Shanghai composite index trend also cannot effectively reflect the operating condition of the real economy. Finally, the paper analyzes the heavyweight before and after the stock index futures and index of the movement, pointed out that the existence of the Shanghai composite index makes great risk of stock index futures:big money can by manipulating the weight affect the benchmark Shanghai composite index, which affects an underlying index of stock index futures, finally obtain huge profits in the stock index futures.Chapter 6, conclusion and policy recommendations. According to the analysis of front chapter 5,the following conclusions:(1) the weight of the Shanghai composite index actual concentration is high and easy to be manipulated.(2) the distortion of the index and p/e ratio, which cannot reflect the reality of the economic operation.(3) the benchmark Shanghai composite index that easy maneuverable, making the stock index futures market a big hidden trouble. Thus put forward the policy Suggestions are:(1) using the csi 300 index as the dominant index, the Shanghai 180 index on behalf of Shanghai.(2) improve the system of futures trading management, strengthen the monitoring of weight stock holdings.The innovation of this article:(1)put forward correction weight concentration. If a direct comparison between the world’s main index weight concentration, will find that the Shanghai composite index weight concentration in the medium level, but after add leverage factors, can be found that the weight of the Shanghai composite index fixed concentration is much higher than other index, which is in good agreement with the actual situation.(2) data on innovation. This paper adopts a minute closing price as the sample, the reason is that the change to the market to the heavyweight reflects extremely sensitive, the more high frequency data can more truly reflect the influence of the relationship between them.(3)put forward p/e ratio distortion. Divide class by earnings per share calculation, this paper draws that because Banks low p/e ratio greatly lower the Shanghai overall price-earnings ratio, therefore the Shanghai stock exchange announced Shanghai p/e ratio is misleading, cannot reflect the whole situation of Shanghai. |
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