| Since the 1990s,China’s economic has grown rapidly,China’s GDP has grown from 1.8 trillion in 1990 to74.4 trillion in 2016,ranked second in the world.As China’s economic development,China’s stock market has also been considerable development,from 1990 to 2017,the Shanghai Stock Exchange from the initial 8 stocks,22 bonds,has developed into a 1334 listed companies,1378 stocks,38.29 trillioncapitalization’s market.Although China’s stock market is developing rapidly,however,this cannot hide theinstitutional inadequacies and immature aspects of China’s stock market.China’s stock market has a strong government color,the system is not yet perfect and more administrative intervention,the market speculative atmosphere strongly,insider trading,manipulating the stock market and other violations occur,and so far,it still can not effectively play the role of economic resources allocation,and can not reflect the role of "barometer" in economic development.As the oldest and most representative index in China’s stock market,the Shanghai Composite Index can not accurately and objectively reflect the overall trend of China’s stock market.The shortcomings of the Shanghai Stock Index have seriously affected the healthy development of China’s stock market.By comparing the Shanghai stock index and the mature capital market price index,this paper studies the shortcomings of the Shanghai CompositeIndex in its preparation,and this kind of defect produces the index "distortion" phenomenon and its potential risk and harm to our stock market and futures market.The purpose of the study is to point out that the inherent shortcomings of the Shanghai Composite index make it difficult to reflect the overall situation of China’s stock market,this has seriously hindered the healthy development of China’s stock market,we should improve the Shanghai Compositeindex as soon as possibleand then make it better reflect the ups and downs of stock market and play the economic barometer function.This paper is divided into five parts:The first part is the introduction,which mainly includes the background and significance of the topic,the literature review and the research framework.This part points out the shortcomings of the Shanghai Composite stock index in the preparation,resulting in its "distortion" obvious in recent years.The second part is the comparative study of the main price index at home and,abroad.It mainly introduces the two stock price indices of the composite index and the constituent index as well as the price weighted,the total market value weighted and the market capitalization weighted.In view of China’s stock market circulation and the difference between the liquidity,the market capitalization weighted is more reasonable;This part also compares the Shanghai Composite index with the price index of the mature capital market,and points out that the actual weight concentration of the Shanghai Composite index is obviously higher than the main price index of the mature capital market.The Shanghai index is highly affected by the heavyweight stocks.The third part is research of the Shanghai Composite Index "distortion",this part first introduced the reasons of the ShanghaiComposite index "distortion"-the disproportionate impact of the heavyweight stocks on the Shanghai index,The heavyweight stocks has a "leverage effect" due to the disparity between the total share capital and the free float,Which makes the heavyweight stocks has the role of skillfully deflected,resulting in the Shanghai index is highly vulnerable to the impact of heavyweight stocks,therefor"distortion";Second,this part describes the performance of the Shanghai Composite Index "distortion",the index "distortion"performance for the price-earnings ratio and artificially inflated and fall of index;Once again,I have compiled the Shanghai Composite index in the first half of 2017 by compiling the Shanghai Composite Index,which is weighted by the free float,and comparing it with the Shanghai Composite Index;Finally,this part points out the harm of the Shanghai index "distortion",the Shanghai Composite index can not reflect the overall situation in the Shanghai market,passed wrong information to investors,affect the investors to make incorrect investment decisions,and the impact of the heavyweight shares on the Shanghai Composite index make big money can indirect manipulation of the stock index futures by manipulating heavyweight stocks.The fourth part is the empirical analysis,this part from the empirical point of view to verify the huge impact of heavyweight stocks on the Shanghai Composite Index,which easily lead to the Shanghai Composite Index showed "distortion"effect,This section establishes the VEC model by using 1 minute high frequency data,and finally get the results:(1)There is a long-term cointegration relationship between the Shanghai Composite Index,the heavyweight index,the small-cap index and the mid-cap index.In the long-term cointegration relationship,the heavyweight index and the mid-cap index have a greater impact on the Shanghai index,and the impact of the three on the Shanghai index are positive effects.(2)In the short-term relationship,heavyweight index and small-cap index have a greater impact on the Shanghai Composite Index,while the impact of mid-cap index is smaller,the Shanghai Composite Index is sensitive to changes in the heavyweight index.The fifth part is conclusion and suggestion.According to the study of this paper,the following conclusions are drawn:(1)The actual weight concentration of the Shanghai Composite Index is high,heavyweight stocks has a huge impact on the index.When the heavyweight stocks and small cap stocks trend differentiation,the Shanghai Composite Index will be "distorted" obvious.The Shanghai Composite Index is easy to be manipulated,while the CSI 300 is highly correlated with the Shanghai Composite Index,making it possible to manipulate the CSI 300 stock index futures indirectly through manipulation of the Shanghai Composite Index.And therefore put forward the policy recommendations:to use of free-flowing equity weighted or grading free float capital stock to replace the current share capital weighted way to make the Shanghai Compositeindex to better measure the overall situation of China’s stock market system and playing system pointer function.Innovation of this article:(1)This paper compares the fluctuation range of the Shanghai Composite Index with the change of the constituent stocks and the change rate of the market value of the Shanghai Stock Exchange,pointed out that the Shanghai Composite Index has Inflated with asthenia.(2)This paper explores the distortion of the Shanghai Composite Index in the first half of 2017 by compiling the Shanghai Composite Index,which is weighted by free float.(3)Through the construction of the heavyweight index,this paper proves that the heavyweight has a great influence on the Shanghai index,and the heavyweight transaction can cause the Shanghai index to be distorted. |
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