Why would Shanghai be so high on the list? It did not seem that expensive to me.

Some of those numbers seem very suspect. For example, it lists Houston and Boston as almost identical, with Houston slightly higher. Anyone who's lived in both cities can tell you that's ridiculous; the BankRate.com COL calculator shows Boston as almost 50% more expensive:

http://www.bankrate.com/brm/movecalc.asp?a=0&d1=100000&#...

The list above also puts LA significantly higher than SF, which is also ridiculous. BankRate has SF at 15% higher:

http://www.bankrate.com/brm/movecalc.asp?a=0&d1=100000&#...

The crucial information is in the small print though:

"(The index is based on cost of living expressed in US dollars. Therefore, if the dollar weakens against the local currency of a city, the city becomes more expensive and moves up the index, even if prices expressed in local currency remain the same or even go down.)"

London is now over 25% cheaper in dollar terms than in the summer.