纳入明晟指数究竟会带给A股什么——基于深港通制度的反事实评估方法研究

How do A-shares Benefit from MSCI Inclusion? Study of the Shenzhen-Hong Kong Stock Connect System Using the Counterfactual Evaluation Method

基于2016年12月5日至2017年12月29日进入深股通交易额前10名的标的股票数据,运用面板数据反事实政策评估方法,研究纳入明晟(MSCI)指数制度的推出对A股价格波动的影响。研究发现,在深港通开通后,多数股票价格波动率显著降低,股票价格总体的波动率在深港通政策实施后显著降低,且深股通资金净额比率对股票价格波动性有显著的负效应,融资带来的负效应和融券带来的正效应进一步加强了深股通资金净额比率的负效应;大市值、净资产收益率高、增长率高、可持续增长率高、当期涨幅小的股票受深港通政策影响较大,股价波动率下降幅度更大。因此,逐步开放资本市场有利于证券市场稳定,中国金融市场应该进一步扩大对外开放。

Based on the target stock data of the top 10 stocks in terms of Shenzhen Connect trading volume from December 5,2016,to December 29,2017,this study used the panel data counterfactual policy evaluation method to examine the impact of the introduction of MSCI inclusion on A-share price fluctuations. This study found that after the opening of the Shenzhen-Hong Kong Stock Connect,most stock price volatility decreased significantly. Furthermore,the price volatility of most stocks decreased significantly. The overall volatility of stock prices decreased significantly after the Shenzhen-Hong Kong Stock Connect policy was implemented,and the net funding ratio of Shenzhen Connect had a significant negative impact on stock price volatility. The negative effects of financing and the positive effects of securities lending further strengthened the negative effect of the Shenzhen Connect＇s net funding ratio. Stocks with large market capitalization,high return on net assets,high growth rates,high sustainable growth rates,and small increases in the current period were more affected by the Shenzhen-Hong Kong Stock Connect policy,and the stock price volatility declined even further. Therefore,the gradual opening up of capital markets is conducive to the stability of the securities market,and the Chinese financial market should expand further into the international arena.