资本市场国际影响力提升效应研究——来自A股纳入明晟(MSCI)新兴市场指数的证据  

The International Influence Promotion Effect of Capital Market:Evidence from the Inclusion of the A-share Market in the Morgan Stanley Capital International Emerging Market Index

作　　者：倪骁然[1] 顾明 NI Xiaoran;GU Ming(School of Economics,Xiamen University)

机构地区：[1]厦门大学经济学院金融系、王亚南经济研究院,福建厦门361005

出　　处：《金融研究》2020年第5期189-206,共18页Journal of Financial Research

基　　金：国家自然科学基金青年项目(71802170);国家社会科学基金一般项目(17BGL076)的资助;“计量经济学”教育部重点实验室(厦门大学)的支持。

摘　　要：2018年5月15日,首批纳入明晟(MSCI)新兴市场指数的A股股票名单正式公布.我们发现,被纳入MSCI的股票(标的股票)在公告日前后有显著为正的累计超额收益.相较于主要特征相似的匹配股票,标的股票纳入MSCI后的分析师评级有显著提升.进一步研究表明,在公告日前后融资(融券)交易量显著上升(下降),而换手率没有明显变化,并且净融资交易与公告效应显著正相关.本文的发现表明,A股纳入MSCI这一事件具有明显的信息含量,传递了有关企业前景的正面信息,并促使本地市场聪明投资者进行更活跃的交易,这对促进价格发现、促成价值投资具有一定的推动作用.This paper uses the formal disclosure of stocks as members of the MSCI Emerging Market Index on May 15,2018 to examine the announcement effect of pilot stocks.We measure the market reaction of the MSCI announcement by the cumulative excess returns in the three-day window around the announcement.We construct two samples:selected firms,which are included in the MSCI list,and matching firms,which are not included in the list but share size and industry characteristics with selected firms.We compare the market reaction of these two samples around the MSCI announcement.The cumulative excess return of selected firms'stocks in the three-day window around the announcement is 1.54%(t-stat=5.21),indicating that the stock price of this group increases significantly around the date of the announcement.In contrast,the cumulative excess return of matching firms'stocks is 0.07%(t-stat=0.18),indicating that there was no significant change in their stock price around the announcement day.The difference in cumulative excess return between the two samples is 1.47%(t-stat=3.06).These findings suggest that the inclusion of A-shares in the MSCI list has a significant positive announcement effect.In the long run,we still observe significant positive market reactions and no significant reversals,indicating a persistent announcement effect of MSCI inclusion.We then investigate the possible mechanisms underlying these findings.Is the inclusion of the A-share market in MSCI informative?Specifically,does the positive announcement effect occur because sophisticated investors are more active in trading,as they might gain positive information from the MSCI inclusion?Or is it simply driven by short-term speculative trading and market sentiment?Researchers usually propose two hypotheses regarding the positive index effects:the information-driven hypothesis and the demand-driven hypothesis.First,we perform empirical tests to examine the demand-driven hypothesis.If this hypothesis applies,stocks with closer substitutes may be subject to less price

关 键 词：市场开放 MSCI 融资融券 公告效应 信息含量 

分 类 号：F832.51[经济管理—金融学]