Method for constructing size and value indices of a stock market

摘要

The present invention discloses a method for constructing size and value indices of the China's stock market. This invention categorizes A-share stocks into nine indices based on size and value, guiding different market participants who have different needs. Meanwhile, our methodology dynamically adjusts the sample used in the indices, deletes the stocks whose ranks drop below the cut-offs, and keeps the indices up-to-date.