Market Rule Changes,New Share Issuance And Volatility Of Broad Market Indices

This paper selects comprehensive data of Shanghai market for nearly 12 years from 2010 to 2022,including the daily listing of new shares up and down,the return of individual stocks,the frequency of IPO and the SSE Composite Index,etc.,and explores,in a time series,the impact of new shares on the SSE Composite Index before and after January 1,2014,when the up and down system was set for new shares in Shanghai and July 22,2020,when the market indexing rules were changed.IPOs and other factors on the impact of the SSE Composite Index change.The SSE Composite Index is the earliest resume broad index in China,with the highest comprehensive and strongest representation,and is a predictive economic vane and barometer for China’s stock market.Therefore,studying the impact of the change in market index rules on the SSE Composite Index number is of immediate and positive significance for both micro personal and macro policy forecasting.The current academic research on the compilation rules of the SSE Composite Index is mainly based on the fact that the compilation rules are too conservative and cannot adapt to the rapidly changing capital market,thus the distortion of the SSE Composite Index is relatively serious and cannot adequately reflect the changes in the market structure of the stock market;therefore,on July 22,2020,the rules for the inclusion of new stocks in the index of the SSE Composite Index were adjusted: the index sample was implemented if a risk warning is imposed,it will be removed from the index sample from the next trading day on the second Friday of the month following the month in which the risk warning is imposed,and if the risk warning is removed,it will be included in the index from the next trading day on the second Friday of the month following the month in which the risk warning is removed;newly listed securities ranked among the top 10 in Shanghai in terms of average daily total market capitalization will be included in the index after three months of listing,and other newly listed securities Other newly listed securities will be included in the index after one year of listing;depositary receipts issued by red-chip enterprises listed on the Shanghai Stock Exchange and securities listed on the Science and Technology Innovation Board will be included in the SSE Composite Index according to the revised compilation plan.As for the study of new stocks on the SSE Composite Index,the current academic research mainly focuses on the impact of the size of new stock issuance on the broad market index.Therefore,on this basis,this paper digs deeper into other factors of new stocks,in terms of the frequency of new stock issuance,individual stock returns after the listing of new stocks,the difference of the sector to which the stocks belong and the effect of the industry sector of new stocks on the first day of listing on the SSE Composite Index.From the expansion of the stock market to tighten the secondary market,the sellers’ market is strengthened,and small and large non-cash add to the market when the selling pressure and psychological expectations of the market impact,the impact of new stock issuance on the broad market index has a certain negative effect,but due to the new stock into the SSE Composite Index rules change,improve the correlation between the SSE Composite Index and the secondary market,so as to more realistic response to the changes in the market structure of the stock market,reduce investors The importance and necessity of the change in the rules for the inclusion of new stocks in the index is verified by the fact that it increases investors’ confidence in the capital market and thus drives investors’ market sentiment.Based on the frequency of issuance,this paper makes some derivations and also studies the impact of the property of multiple companies listed in one day on the broad market index,because multiple companies belonging to the same industry listed together in one day will increase investors’ investment information and expectations for this sector,thus enhancing the effect of the whole sector and thus driving the growth of the SSE Composite Index.Through two sets of data from 2010.01.01-2020.07.21(excluding KCI)and2014.01.01-2022.12.31(including KCI),after empirical tests,we get: firstly,the return of new stocks individual shares has a significant driving effect on the SSE Composite Index;secondly,the up and down system set on January 1,2014 has a slowing effect on the return of individual shares for the SSE Secondly,the number of IPOs on that day has a positive relationship with the return of the SSE Composite Index;finally,introducing the change in the rules of the new stocks included in the SSE Composite Index on July 22,2020,it is found that the SSE Composite Index return is more significantly driven by the science and technology board compared to the main board.Finally,based on the empirical results of this paper,we provide some insights and suggestions of our own to investors and financial markets.