| Field | Value | Source text | Reading (model) |
|---|---|---|---|
| G1 Scope, precedence and principles · 6 fields | |||
| Rulebook scope content | The rulebook mainly covers index calculation and index divisor adjustments. | 旨在阐述中证指数有限公司（以下简称“中证指数”）在处理股票指数计算时所遵循的规则，主要包括指数计算和指数除数修正两部分。Open p.4 ↗ |
The calculation rules mainly address index calculation and divisor correction. |
| Covered indices | Domestic and overseas equity indices managed by China Securities Index Co., Ltd. | 《计算规则》原则上适用于中证指数所管理的境内外股票指数。Open p.4 ↗ |
The calculation rules generally apply to domestic and overseas equity indices managed by CSI. |
| Precedence rule | The index compilation methodology prevails where it specifies calculation rules; uncovered special situations are handled under CSI's index compilation and management principles. | 当指数编制方案对于计算规则另有说明的，以编制方案所述规则为准。对于《计算规则》未能涵盖的其他特殊情况，中证指数将根据《中证指数有限公司指数编制与管理原则》，确定适当的处理方法。Open p.4 ↗ |
If an index's compilation methodology states different calculation rules, that methodology prevails, and uncovered special situations are handled under CSI's index compilation and management principles. |
| Administrator | China Securities Index Co., Ltd. (CSI) | 中证指数有限公司（以下简称“中证指数”）在处理股票指数计算时所遵循的规则Open p.4 ↗ |
The rules are issued by China Securities Index Co., Ltd. |
| Rulebook version | V1.1 | 中证指数有限公司股票指数计算规则
V1.1
2024 年7 月Open p.1 ↗ |
The rulebook version is V1.1. |
| Effective date | 2024-07-01 | V1.1
2024 年7 月Open p.1 ↗ |
This version is dated July 2024; no specific day is printed, so the date is recorded as 2024-07-01 with low precision. |
| G2 Calculation and publication · 12 fields | |||
| Adjusted price for return variants | The adjusted price is the ex-rights price for price indices, ex-rights/ex-dividend price for gross total return indices, and net ex-rights/ex-dividend price for net total return indices; absent an event, it equals the closing price. | 上述计算公式中，对于价格指数，调整后样本的价格为除权价；对于全收益指数，调整后样本的价格为除权除息价；对于净收益指数，调整后样本的价格为除权除息净价。若样本未发生除权或除息事件，则除权价、除权除息价、除权除息净价等于收盘价。Open p.8 ↗ |
For divisor and chain calculations, the adjusted constituent price differs by return variant and equals the closing price when no ex-rights or ex-dividend event occurs. |
| Adjusted share count basis | Adjusted share counts are derived from total shares using the free-float tiered classification method. | 调整股本数系根据分级靠档方法对样本总股本进行调整而获得。计算调整股本数，需要确定自由流通量和分级靠档，具体详见《中证指数有限公司股票指数自由流通量规则》。Open p.6 ↗ |
Adjusted share counts are obtained by adjusting constituents' total share capital under the tiered free-float method. |
| Default weight factor and exchange rate | Unless otherwise specified, the weight factor and exchange rate are both 1. | 权重因子介于0 和1 之间，由权重与调整后自由流通市值的比值计算得出。若未特殊说明，则权重因子、汇率均为1。Open p.6 ↗ |
The weight factor and exchange rate default to 1 when not specifically specified. |
| Formula type | Divisor | 原则上，指数采用派许加权方法进行计算，计算方法分为除数算法和链式算法。Open p.5 ↗ |
Indices are generally calculated using the Paasche weighted method, with calculation methods categorized as the divisor method and chain method. |
| Return variants | PR, GTR, NTR | 价格指数以样本的市场价格，计算指数的表现。为满足投资者的需要，中证指数同时计算部分指数的全收益指数和净收益指数。Open p.5 ↗ |
The rulebook identifies price, gross total return, and net total return indices, with gross and net versions calculated for some indices. |
| Dividend treatment | Gross total return indices reinvest pre-tax cash dividends and net total return indices reinvest after-tax cash dividends on the ex-dividend date; the price index does not adjust the divisor for cash dividends. | 全收益指数和净收益指数是价格指数的辅指数，与价格指数的区别在于全收益指数、净收益指数的计算中考虑了样本税前、税后现金红利的再投资收益，不会在样本除息日按照样本分红金额自然回落Open p.5 ↗ |
Gross and net total return indices assume reinvestment of pre-tax and after-tax cash dividends on the ex-dividend date, while the price index falls naturally on cash dividends. |
| Withholding tax basis | A 10% cash-dividend tax rate is generally used for Shanghai, Shenzhen, Beijing, and Hong Kong securities. | 对沪深京港证券，现金分红的税率一般设置为10%。Open p.5 ↗ |
For Shanghai, Shenzhen, Beijing, and Hong Kong securities, the cash-dividend tax rate is generally set at 10%. |
| Divisor adjustment rule | The new divisor equals the prior divisor multiplied by the post-adjustment adjusted market capitalization divided by the pre-adjustment adjusted market capitalization, calculated after the close before the change becomes effective. | 为保证指数的连续性，当指数样本、股本结构发生变化或样本的市值出现非交易因素的变动时，指数在变动生效日前一日收盘后采用除数修正法修正原除数。Open p.8 ↗ |
The divisor is corrected after the close before the effective date so that the new divisor equals the old divisor times the ratio of adjusted post-change market value to pre-change market value. |
| Divisor adjustment events | Cash dividend for gross and net total return indices, Bonus issue, Rights issue, Stock split, Reverse stock split, Other share changes at or above 5 percent, Accumulated small share changes in semi annual adjustment, Periodic or ad hoc constituent adjustment | 当样本现金分红时，价格指数除数不予修正，任其自然回落。全收益指数、净收益指数在样本除息日前一交易日收盘后修正指数除数。当样本送股、配股、拆股或缩股时，价格指数、全收益指数、净收益指数在样本除权日前一交易日收盘后修正指数除数。Open p.9 ↗ |
Divisor adjustments are triggered by total-return cash dividends, bonus issues, rights issues, splits, reverse splits, qualifying other share changes, scheduled small share-change updates, and constituent adjustments. |
| Calculation frequency | Real-time index updates follow the interface definition used by CSI, the exchange, or another third-party market-data system; closing indices are published every index trading day. | 实时指数计算和发布：指数更新频率以中证指数通、交易所或其他第三方行情发布系统接口定义为准。收盘指数计算和发布：指数发布频率为指数交易日每日发布。Open p.8 ↗ |
Real-time indices are updated according to the relevant publication interface, and closing indices are calculated and published on each index trading day. |
| Currency | The currency is not stated as a general rule; foreign-currency prices are converted using index calculation exchange rates. | 其中，人民币兑其他货币的汇率通常采用在岸汇率（CNY）。采用其他汇率的以编制方案为准，如人民币离岸汇率（CNH）。Open p.7 ↗ |
The document does not specify a general publication currency, but its formulas include exchange rates and use onshore CNY rates for RMB against other currencies unless otherwise specified. |
| Publication channels | CSI, exchange market-data systems, other third-party market-data publication systems | 实时指数计算和发布：指数更新频率以中证指数通、交易所或其他第三方行情发布系统接口定义为准。Open p.8 ↗ |
Real-time indices are published through CSI, exchanges, or other third-party market-data publication systems. |
| G3 Prices and market data · 6 fields | |||
| Data principle | All data used must be objective or fair data obtainable through payment of consideration. | 指数基于成交价格数据和基本信息数据进行计算，所有的数据均为客观或通过支付对价可获得的公平数据。Open p.4 ↗ |
Indices are calculated from transaction-price and basic-information data that are objective or fair data available for consideration. |
| Price source | Real-time prices come from exchange market-data systems such as SSE and SZSE or from data vendors designated by CSI; the latest trade is used when traded and the opening reference price is used when there is no trade. | 指数的实时计算，样本实时成交价格来自上海证券交易所、深圳证券交易所等交易所行情系统，或来自由中证指数不时指定的数据供应商提供的交易行情。Open p.4 ↗ |
Real-time calculation uses exchange or designated-vendor market prices, taking the latest traded price or, if no trade occurs, the opening reference price. |
| Closing price rule | Closing prices are obtained from exchange market-data systems such as SSE and SZSE or from CSI-designated data vendors. | 指数的收盘计算，样本收盘价格来自上海证券交易所、深圳证券交易所等交易所行情系统，或来自由中证指数不时指定的数据供应商提供的交易行情。Open p.5 ↗ |
For closing calculations, constituent closing prices are sourced from exchange systems or CSI-designated data vendors. |
| Suspended price rule | When the exchange system, data vendor, or trading is abnormal or suspended, CSI determines an appropriate handling method case by case; for an untraded security during real-time calculation, the opening reference price is used. | 在交易所交易时段，用交易所发布的实时行情计算指数（无成交者取交易所行情系统提供的开盘参考价或中证指数自行维护的开盘参考价），并实时对外发布。Open p.4 ↗ |
Untraded securities use the opening reference price in real-time calculation, and CSI determines the treatment for abnormal or suspended trading on a case-by-case basis. |
| Exchange rates | Unless otherwise specified, exchange rates are quotations from data vendors designated by CSI; real-time indices generally use real-time rates, closing indices use rates at index close or another specified time, and CNY rates are generally onshore CNY. | 除非另有说明，汇率来自中证指数不时指定的数据供应商所提供的汇率报价。指数的实时指数一般采用实时汇率参与计算，收盘指数采用指数收盘时刻或其他指定时刻的汇率参与计算。Open p.7 ↗ |
CSI-designated vendor FX quotations are used, generally real-time rates for real-time indices and rates at close or another specified time for closing indices, with onshore CNY normally used for RMB exchange rates. |
| Data sources | Shanghai Stock Exchange, Shenzhen Stock Exchange, other exchanges, CSI-designated data vendors, China Foreign Exchange Trade System for specified B-share conversion | 样本实时成交价格来自上海证券交易所、深圳证券交易所等交易所行情系统，或来自由中证指数不时指定的数据供应商提供的交易行情。Open p.4 ↗ |
Market data come from exchanges including SSE and SZSE, CSI-designated data vendors, and in one specified B-share case, CFETS central parity rates. |
| G4 Corporate events · 8 fields | |||
| Semi annual small share change effective dates | Effective dates: The next trading day after the second Friday of June each year, The next trading day after the second Friday of December each year | 调整生效时间分别为每年6 月和12 月的第二个星期五的下一交易日，在股本定期调整生效日前一交易日收盘后修正指数除数。Open p.9 ↗ |
Sub-5% accumulated share changes from other corporate events take effect on the next trading day after the second Friday in June and December. |
| Cash dividend | The price-index divisor is not adjusted for cash dividends and the index falls naturally; gross and net total return indices adjust the divisor after the close before the ex-dividend date. | 当样本现金分红时，价格指数除数不予修正，任其自然回落。全收益指数、净收益指数在样本除息日前一交易日收盘后修正指数除数。Open p.9 ↗ |
Cash dividends cause a natural price-index drop with no divisor adjustment, while gross and net total return indices adjust the divisor after the close before the ex-dividend date. |
| Bonus and split | Bonus issues, stock splits, and reverse splits trigger divisor adjustments for price, gross total return, and net total return indices after the close before the ex-rights date. | 当样本送股、配股、拆股或缩股时，价格指数、全收益指数、净收益指数在样本除权日前一交易日收盘后修正指数除数。Open p.9 ↗ |
For bonus issues, stock splits, and reverse splits, all three return variants adjust the divisor after the close before the ex-rights date. |
| Rights issue | Rights issues trigger divisor adjustments for price, gross total return, and net total return indices after the close before the ex-rights date. | 当样本送股、配股、拆股或缩股时，价格指数、全收益指数、净收益指数在样本除权日前一交易日收盘后修正指数除数。Open p.9 ↗ |
For rights issues, all three return variants adjust the divisor after the close before the ex-rights date. |
| Other share changes | Other corporate events causing total-share changes, such as placements, debt-to-equity swaps, and warrant exercises, are adjusted immediately when cumulative changes reach or exceed 5%; smaller cumulative changes are adjusted semi-annually. | 当样本股本发生由其他公司事件（如增发、债转股、权证行权等）引起的总股本变动累计达到或超过5%时，对其进行临时调整，在样本的股本变动生效日前一交易日收盘后修正指数除数。Open p.9 ↗ |
Placements, conversions, warrant exercises, and similar share changes trigger immediate adjustment at a cumulative 5% threshold, while smaller changes are accumulated for semi-annual adjustment. |
| Capital reduction | Capital reductions are covered by the term for share consolidation/reduction and trigger divisor adjustment for all three return variants after the close before the ex-rights date. | 当样本送股、配股、拆股或缩股时，价格指数、全收益指数、净收益指数在样本除权日前一交易日收盘后修正指数除数。Open p.9 ↗ |
A capital reduction, expressed in the rulebook as share reduction, causes the price, gross total return, and net total return divisors to be adjusted after the close before the ex-rights date. |
| New listing | Not stated in the provided sections except that new listings may be considered within index compilation schemes rather than this calculation rulebook. | — (not found verbatim in the PDF) |
The supplied calculation-rule sections do not state a general new-listing or fast-entry treatment. |
| Suspension | When trading is suspended or market-data systems are abnormal, CSI determines the appropriate treatment case by case. | 当交易所行情系统或数据供应商发生异常情况或交易暂停时，中证指数视情况确定适当的处理方法。Open p.5 ↗ |
Suspended or abnormal trading is handled according to the circumstances as determined by CSI. |
| G7 Review and constituent changes · 4 fields | |||
| Constituent adjustment divisor treatment | Both scheduled and temporary constituent adjustments trigger divisor correction after the close on the trading day before the adjustment becomes effective. | 当指数样本定期调整或临时调整生效时，在调整生效日前一交易日收盘后修正指数除数。Open p.9 ↗ |
When periodic or temporary index constituent adjustments take effect, the divisor is corrected after the close immediately before the effective date. |
| Review frequency | Semi-annual | 当样本股本发生由其他公司事件引起的总股本变动累计不及5%时，每半年定期调整一次Open p.9 ↗ |
The supplied sections state a semi-annual timing for periodic share-count adjustments, but they do not set the general constituent review frequency. |
| Effective date rule | For periodic small share-change adjustments, changes take effect on the next trading day after the second Friday in June and December; for constituent adjustments, divisor correction occurs after the close before the adjustment effective date. | 调整生效时间分别为每年6 月和12 月的第二个星期五的下一交易日，在股本定期调整生效日前一交易日收盘后修正指数除数。Open p.9 ↗ |
The document gives June and December post-second-Friday effective timing for share-count updates and adjusts the divisor before periodic or temporary constituent changes become effective. |
| Ad hoc deletion triggers | Other | 当指数样本定期调整或临时调整生效时，在调整生效日前一交易日收盘后修正指数除数。Open p.9 ↗ |
The supplied sections mention temporary constituent adjustments generally but do not enumerate the events that trigger ad hoc deletion. |
Open points · 15Model-written, for reference
- 1No stated general guiding principles list such as representativeness, investability, or transparency was found.
- 2No precise July 2024 effective day was printed; only July 2024 was stated.
- 3No general index calculation and publication currency was stated beyond FX conversion rules.
- 4No specific real-time update interval or calculation clock times were stated beyond interface-defined updates and exchange trading sessions.
- 5No index-level publication precision or number of decimal places was stated.
- 6No specific closing auction rule was stated; closing prices were only identified as coming from exchanges or data vendors.
- 7No detailed fixed valuation price for suspended constituents was stated beyond case-by-case treatment and opening reference prices for untraded real-time securities.
- 8No general constituent eligibility screens, listing-history requirements, financial-reporting requirements, or risk-warning rules were stated.
- 9No general periodic constituent review frequency, data cut-off, announcement timing, buffer rule, reserve list, turnover limit, or replacement policy was stated.
- 10No fast-entry rule, size threshold, timing, or excluded boards were stated.
- 11No ad hoc deletion triggers, deletion price, or suspended-constituent retention rule were stated.
- 12No treatment specific to mergers, spin-offs, delisting, bankruptcy, risk warning, or transfer of listing was stated.
- 13Not coveredG5 Shares, free float and weight factors: not covered by this edition
- 14Not coveredG6 Disruption, emergencies and corrections: not covered by this edition
- 15Not coveredG8 Governance, changes and termination: not covered by this edition
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