A股入摩的信息治理效应:立竿见影还是厚积薄发?

The Information Governance Effect of A-Shares into MSCI:Is It Immediate or Not?

A股纳入摩根士丹利公司新兴市场指数(又称A股入摩)的成功是我国资本市场对外开放的大事件。本文基于分析师关注视角,考察A股入摩的市场反应及其信息治理效应。研究发现:A股入摩会吸引更多投资者进入,引起标的股市场反应表现为正;从长期而言,分析师关注程度越高的企业,其股票回报高于分析师关注程度低的企业,即A股入摩的信息治理效应主要表现为“厚积薄发”;进一步研究表明,与非国有企业相比,A股入摩的信息治理效应在国有企业中表现得更为显著,在非“四大”审计分组与市场化进程滞后组中,A股入摩的信息治理效应在国有企业样本中的表现更为显著。

The success of A-shares into the Morgan Stanley Emerging Markets Index(also known as A-shares into MSCI)is a major event in the opening up of China’s capital market to the outside world.It also puts forward new propositions for theoretical research.This event will bring incremental funding,valuation effect,and internationalization,and is expected to help to accelerate the healthy development of China’s capital market.At the same time,the trait information generated by A-shares into MSCI will be widely concerned by analysts,which will have an impact on micro-enterprise governance.This paper takes the official announcement of A-shares into MSCI and the official entry into force of A-shares into MSCI as the entry point to select research samples.It uses the list of 222 target stocks officially announced on June 21,2017 and the list of 226 target stocks that are officially effective on June 1,2018 as an initial sample of research.Based on the perspective of analyst coverage,this paper uses the event study method to examine the market response of A-shares into MSCI and its information governance effect.It is found that the event will attract more investors to enter,causing the target market to react positively.In the long run,the more analysts track,the higher the return on stocks.And the information governance of A-shares is mainly characterized by“spur with long accumulation”.In further research,combined with the reality of China’s dual economic system and the reform of SOE Mixed Ownership,this paper examines its effect on information governance of state-owned enterprises based on the perspective of different property rights.Further research shows that compared with nonstate-owned enterprises,the information governance effect of A-shares has become more significant in state-owned enterprises.In the non-“big 4”audit group and the lagging group of marketization process,the information governance effect of A-shares into MSCI in the sample of state-owned enterprises is more significant.The possible contributions of this paper are mainly reflected in the following aspects:Firstly,based on China’s unique institutional environment,taking the challenge of micro-governance facing China’s current capital market transformation as a realistic background,this paper examines the information governance effect of A-shares into MSCI.This study is conducive to the further improvement of China’s capital market information governance,and has certain enlightenment and practical significance for the effective realization of China’s capital market internationalization.Secondly,this paper analyzes the information governance effect of A-shares into MSCI entry from the perspective of analyst coverage,and attempts to reveal the role of A-shares into MSCI in China’s capital market information governance,which enriches the research literature of analysts to a certain extent.Thirdly,this paper further points out the significant differences in the information governance effect under different property rights and their different research conclusions.It also provides differential evidence for related research on the emerging capital market development orientation in the context of an“emerging/transition”economy at both macro level and micro level.