CSI 300 Index

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The CSI 300 is a market capitalization weighted index which maps the perfomance of the 300 of the most highly liquid A shares on the Shanghai and the Shenzhen Stock Exchanges^[1]. The index was created by the China Securities index Company Ltd on 4th August 2005. It can be tracked back to Dec 2004 to a base price of 1000^[2].

Weighting and Calculations

The CSI indices are all calculated using a Paasche weighted composite price index formula, similar to the SSE Composite Index (SHGIDX-SH). This means that the index is based on on its base period for its calculations as compared to certain other exchanges, like the DAX, which base their calculations on the previous period (the laspyres price index calculation). ^[3]

CSI 300 and Sector Indices are weighted by shares.^[4]

• The formula is: Current index = Current total market cap of constituents × Base Value / Base Period

Total market capitalization = ∑ (price × adjusted shares issued* free float factor)^[5].

• The free float is total A shares minus the following non-negotiated shares^[6]:
• Long term holdings by founders, families and senior executives.
• Government holdings or frozen shares by the government.
• Strategic holdings or restricted employee shares.
• Cross Holdings.

Composition

Eligibility

To be eligible for the CSI 300 index, the stocks have to satisfy the following criteria^[7]:

• All A shares trading on the market for the past three months unless the daily trading volume of the stock is in the Top 30 A shares.
• There seems to be no large volatility signs or any signs that the stock has been manipulated.
• The stock has to be in the top 300 A shares in terms of size and in the top 50% of the A shares in terms of liquidity.

CSI 300 Sector Indices

The CSI 300 is divided into ten sector indices covering as many industry sectors in China. They follow similar calculations and maintenance as the main index and scrutinize more closely what goes on within each sector in China. The list of sector indices are^[8]:

• CSI 300 Energy Index
• CSI 300 Materials Index
• CSI 300 Industrials Index
• CSI 300 Consumer Discetionary Index
• CSI 300 Consumer Staples Index
• CSI 300 Health Care Index
• CSI 300 Finanicals Index
• CSI 300 Information Technology Index
• CSI 300 Telecommunications Index
• CSI 300 Utilities Index

List of companies

The List of companies on the CSI 300 as on July 2008^[9]:

Investing in the CSI 300

• The World Index Shares ETFs has a CSI 300 tracker ETF based on the Hong Kong Stock Exchange that retail investors could avail of in order to invest on the CSI 300 index.

References

1. ↑ Bloomberg data
2. ↑ China Securities Index Co Ltd website
3. ↑ Paasche and Laspeyres price indices
4. ↑ CSI Methodology
5. ↑ [http://www.csindex.com.cn/sseportal/csiportal/en/xzzx/file/CSI300%20Handbook.pdf CSI300 Handbook}
6. ↑ [http://www.csindex.com.cn/sseportal/csiportal/en/xzzx/file/CSI300%20Handbook.pdf CSI300 Handbook}
7. ↑ CSI 300 Handbook
8. ↑ CSI Sector Indices Debut
9. ↑ Constituents for the CSI 300