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A. Industries distribution of SSE 50 Index, CSI 300 Index and CSI smallcap 500 Index in

CITIC primary industry.(Or any industry standard)

a. List sources of data(website)

b. Use the histgram to show the number of constitutent stocks in each industry of SSE

50 Index, CSI 300 Index and CSI smallcap 500 Index

c. Based on the latest market value, you need calculate the weight of constitutent

stocks in stock index. You also need to calculate the sum of weights of the top 10

weighted constituted stocks in the stock index.

d. Compare the three stock indexes and tell us differences in their constitute stock

composition. (Hint: From industry distribution and market value weights sides)

B. The CSI 300 Index stock pool is adjusted every six months, and the adjustment is

implemented in June and December each year.

1. Construct a trading strategy based on each stock pool adjustment. Specifically,

calculate the average return (market capitalization-weighted) and excess return relative

to the CSI 300 Index for the day, week, and month following the adjustment date for the

stocks that are transferred in. Calculate the average return (market capitalization-

weighted) and excess return relative to the CSI 300 for the day, week, and month

following the transfer-out date for the picked stocks. They are presented in the form of

tables respectively. (Sample interval: January 2010 to December 2022)

2. Try to explain the economics/finance principles corresponding to the results in the

analysis B1.

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