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SSE New Composite Index
Constituents for SSE New Composite Index are listed stocks at Shanghai Stock Exchange that have completed Split-share Reform. The Base Day for SSE New Composite Index is December 30, 2005. The Base period is the total market capitalization of all constituents of that day. The Base Value is 1000. The index was launched on January 4, 2006.
SSE New Composite Index Methodology
Index Calculation
• 1) Base Day, Base Period and Base Value
a) The Base Day for SSE New Composite Index is December 30, 2005 . The Base period is the total market capitalization of all constituents of that day. The Base Value is 1000. The index was launched on January 4, 2006 .
b) The Base Day for SSE Composite Index is December 19, 1990 . The Base period is the total market capitalization of all stocks of that day. The Base Value is 100. The index was launched on July 15, 1991 .
c) The Base Day for SSE A Share Index is December 19, 1990 . The Base Period is the total market capitalization of all A shares of that day. The Base Value is 100. The index was launched on February 21, 1992 .
d) The Base Day for SSE B Share Index is February 21, 1992 . The Base Period is the total market capitalization of all B shares of that day. The Base Value is 100. The index was launched on August 17, 1992 .
e) The Base Day for SSE Sector Indices is April 30, 1993 . The Base Period is the total market capitalization of all stocks of respective sector of that day. The Base Values for all sector indices are 1358.78(closing value for SSE Composite Index on April 30, 1993 ). The indices were launched on May 3, 1993 .
• 2) Calculation Formula
a) SSE Indices are all calculated using a Paasche weighted composite price index formula.
b) Composite Indices and Sector Indices are weighted by shares.
The formula is
Current total market cap of constituents
Current index = ────────────────────────── × Base Value
Base Period
Total market capitalization = ∑ (price × shares issued)
c) B share Price unit
B share stocks are denominated in US dollars when B share index are calculated. For calculation of other indices, B share stock prices are converted to RMB at the applicable exchange rate (the middle price of US dollar on the last trading day of each week) at China Foreign Exchange Trading Center.
Index Maintenance
• 1) Maintenance formula
The “Divisor Adjustment Methodology” is used to adjust all SSE Indices.
When constituents are added or removed, the share structure changes or constituents' market value changes due to non-trading factors, the divisor is adjusted to keep the index comparable overtime.
The formula is ：
Adjusted Market Cap before Adjustment Adjusted Market Cap after Adjustment
─────────────────── = ──────────────────
Old Divisor New Divisor
Market Cap after Adjustment = Market cap before adjustment + Market cap increased or decreased ；
The new divisor (also called new base period) derived from this formula is used for later index calculation.
• 2) Circumstances for index maintenance
a) New constituent for SSE New Composite Index: stocks completed Split-share Reform will be added to the Index on the second trading day after implementation.
b) New listing: A newly issued stock is included in index calculation on the initial trading day since September 23, 2002 .
c) Dividend: no index adjustment is required for dividend payment and the index is allowed to fallback naturally.
d) Right issue and bonus issue: the index is adjusted the day before the issuance. Adjusted Market Cap after the Adjustment = Adjusted Price × Adjusted No. of Shares + Adjusted Market Cap before the Adjustment (excluding stocks adjusted for right issue and bonus issue)
e) Suspension from trading: Use last trading price to calculate index until trading is resumed.
f) Delisting: Adjust the index the day before the delisting.
g) Share changes: when shares of constituents change due to other reasons (e.g. re-issuance, listing of right issue, listing of employee shares), the index is adjusted the day before the changes.
h) Exchange rate changes: indices are adjusted according to applicable exchange rate (middle price between RMB and US dollar on the last trading day of each week) at China Foreign Exchange Trading Center .
i) Stop trading: The Index will be calculated as usual if some constituents stop trading; the Index will not be calculated if all constituents stop trading.
SSE New Composite Index Methodology
Index Calculation
• 1) Base Day, Base Period and Base Value
a) The Base Day for SSE New Composite Index is December 30, 2005 . The Base period is the total market capitalization of all constituents of that day. The Base Value is 1000. The index was launched on January 4, 2006 .
b) The Base Day for SSE Composite Index is December 19, 1990 . The Base period is the total market capitalization of all stocks of that day. The Base Value is 100. The index was launched on July 15, 1991 .
c) The Base Day for SSE A Share Index is December 19, 1990 . The Base Period is the total market capitalization of all A shares of that day. The Base Value is 100. The index was launched on February 21, 1992 .
d) The Base Day for SSE B Share Index is February 21, 1992 . The Base Period is the total market capitalization of all B shares of that day. The Base Value is 100. The index was launched on August 17, 1992 .
e) The Base Day for SSE Sector Indices is April 30, 1993 . The Base Period is the total market capitalization of all stocks of respective sector of that day. The Base Values for all sector indices are 1358.78(closing value for SSE Composite Index on April 30, 1993 ). The indices were launched on May 3, 1993 .
• 2) Calculation Formula
a) SSE Indices are all calculated using a Paasche weighted composite price index formula.
b) Composite Indices and Sector Indices are weighted by shares.
The formula is
Current total market cap of constituents
Current index = ────────────────────────── × Base Value
Base Period
Total market capitalization = ∑ (price × shares issued)
c) B share Price unit
B share stocks are denominated in US dollars when B share index are calculated. For calculation of other indices, B share stock prices are converted to RMB at the applicable exchange rate (the middle price of US dollar on the last trading day of each week) at China Foreign Exchange Trading Center.
Index Maintenance
• 1) Maintenance formula
The “Divisor Adjustment Methodology” is used to adjust all SSE Indices.
When constituents are added or removed, the share structure changes or constituents' market value changes due to non-trading factors, the divisor is adjusted to keep the index comparable overtime.
The formula is ：
Adjusted Market Cap before Adjustment Adjusted Market Cap after Adjustment
─────────────────── = ──────────────────
Old Divisor New Divisor
Market Cap after Adjustment = Market cap before adjustment + Market cap increased or decreased ；
The new divisor (also called new base period) derived from this formula is used for later index calculation.
• 2) Circumstances for index maintenance
a) New constituent for SSE New Composite Index: stocks completed Split-share Reform will be added to the Index on the second trading day after implementation.
b) New listing: A newly issued stock is included in index calculation on the initial trading day since September 23, 2002 .
c) Dividend: no index adjustment is required for dividend payment and the index is allowed to fallback naturally.
d) Right issue and bonus issue: the index is adjusted the day before the issuance. Adjusted Market Cap after the Adjustment = Adjusted Price × Adjusted No. of Shares + Adjusted Market Cap before the Adjustment (excluding stocks adjusted for right issue and bonus issue)
e) Suspension from trading: Use last trading price to calculate index until trading is resumed.
f) Delisting: Adjust the index the day before the delisting.
g) Share changes: when shares of constituents change due to other reasons (e.g. re-issuance, listing of right issue, listing of employee shares), the index is adjusted the day before the changes.
h) Exchange rate changes: indices are adjusted according to applicable exchange rate (middle price between RMB and US dollar on the last trading day of each week) at China Foreign Exchange Trading Center .
i) Stop trading: The Index will be calculated as usual if some constituents stop trading; the Index will not be calculated if all constituents stop trading.