资本市场国际化如何影响企业内部人机会主义减持——基于A股被纳入MSCI指数的实证检验  

How Capital Market Internationalization Affects Insiders'Opportunistic Sales?——Based on Empirical Evidence of A-share Inclusion in MSCI

作　　者：邓兴华 李嘉雯 丁瑞馨 DENG Xinghua;LI Jiawen;DING Ruixin

机构地区：[1]西南财经大学国际商学院 [2]中国建设银行风险管理部

出　　处：《金融监管研究》2024年第9期50-72,共23页Financial Regulation Research

基　　金：国家社会科学基金项目24XJY015“高标准投资便利化推动西部地区对内对外开放的路径与策略研究”的资助。

摘　　要：在经济全球化的背景下,如何加强监管防范风险,推动资本市场高质量发展,备受关注。本文基于2010—2022年沪深A股上市公司的数据,以2018年A股被纳入MSCI指数为准自然实验,运用多时点双重差分模型考察了资本市场国际化对企业内部人机会主义减持的影响及其机理。研究发现,资本市场国际化能够显著抑制企业内部人机会主义减持,这一结论经一系列稳健性检验后仍然成立。机制分析表明,资本市场国际化是通过降低公司内外信息不对称程度抑制了内部人机会主义减持。具体而言,分析师和媒体在A股被纳入MSCI指数后发挥了外部监督效应,促使公司提升信息透明度,内部人的信息优势因此被削弱。异质性分析表明,资本市场国际化对机会主义减持的这一影响在非国有企业、信息披露质量及治理水平较低的企业更为明显。拓展性分析表明,资本市场国际化对于机会主义减持的监督作用在提升企业价值上具有溢出效应。本文的以上结论从国际化视角为加强资本市场监管提供了新思路,有助于防范风险,促进资本市场的高质量发展。In the context of economic globalization,how to strengthen supervision to prevent risks and promote the high-quality development of the capital market has attracted much attention.Based on the data of Chinese A-share listed companies from 2010 to 2022,and taking the inclusion of A-shares in MSCI in 2018 as a quasi-natural experiment,this paper examines the impact of capital market internationalization on the insiders'opportunistic sales and its mechanism by using Staggered Difference-in-Difference model.The fndings are as follows:MSCI index inclusion significantly reduces the amount and frequency of insiders'opportunistic sales and still holds based on a series of robustness tests.Mechanism analysis shows that the inclusion of A-shares into MSCI inhibits insider opportunism by reducing the degree of information asymmetry inside and outside the company.Specifcally,analysts and the media have played an external supervision effect after the A-share"entry",the company's information transparency has been enhanced,and the information advantage of insiders has been weakened.Heterogeneity analysis shows that A-share inclusion in MSCI has a more signifcant negative effect on insiders'opportunistic sales in non-state-owned frms and frms with lower information disclosure quality and institutional levels.The extension analysis shows that the supervision effect of the inclusion of A-shares in MSCI on opportunistic reduction of holdings has A spillover effect on enhancing corporate value.This paper therefore provides empirical evidence to further promote the marketization and internationalization of Chinese capital market and its high-quality development.

关 键 词：资本市场国际化 MSCI指数 机会主义行为 内部人减持 

分 类 号：F831[经济管理—金融学]