TREE NEWS update: The Shanghai Stock Exchange and China Securities Index Co. will revise the methodology for the SSE Hong Kong Stock Connect Index, excluding securities listed for less than one year, those with average daily turnover below HK$5 million over the past year, and those with average monthly turnover below 0.1% over the past 12 or 3 months, unless daily turnover exceeds HK$50 million. The changes aim to improve index liquidity and representativeness.
SSE, CSI revise Hong Kong Stock Connect index methodology, excluding low-liquidity stocks
Index-methodology changes are usually technical housekeeping, but this one quietly draws a liquidity line through the Hong Kong Stock Connect universe, and any product tracking the benchmark inherits that filter. The immediate effect lands on thinly traded names that could drop out of an index many passive vehicles reference, while the exemption for stocks with outsized daily turnover leaves a carve-out for names that trade in bursts. The open question is how much of the excluded segment is genuinely illiquid versus merely overlooked, and whether other Connect-linked benchmarks adopt similar screens.
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