股指成份股调整与股价同步性——基于一项准自然实验的证据

CSI300 Index Additions and Stock Price Synchronicity:Evidence from a Quasi-Natural Experiment

文章选取2007年6月至2018年6月沪深300指数的调入成份股与备选股作为研究样本,采用双重差分法,考察股指成份股调整对股价同步性的影响。实证研究发现,企业入选股指成份股后,其股价同步性显著提高。进一步研究发现,入选股指成份股对股价同步性的正向影响在国有企业、股权集中度高以及经营业务复杂的公司更显著,而分析师跟踪会抑制这一正向关系。入选股指成份股会加大分析师的乐观预测偏差,降低公司股票流动性,提高股价同步性。研究还发现,入选股指成份股提高了公司债务融资成本。研究不仅有助于更好地理解股指成份股调整的经济后果和公司股价同步性的影响因素,也为监管部门完善股指成份股调整制度提供了有益思考。

Taking the CSI300 Index adjustments from June 2007 to June 2018 and the backup stocks announced during the same period as the sample, and adopting Difference-in-Difference model, this paper examines the effect of CSI300 Index additions on stock price synchronicity. The empirical study finds that after firms are selected as constituent stocks of stock indexes, their stock price synchronicity increases significantly.Further analysis shows that the positive correlation is more pronounced for state-owned enterprises, and in firms with higher equity concentration and greater business complexity. On the contrary, analyst tracking will inhibit this positive relationship. Path analysis shows that the selection of stock index component stocks increases analysts’ optimistic forecast bias, reduces stock liquidity, and improves stock price synchronicity of CSI300 Index additions. The study also finds that the effect of CSI300 Index additions increases the cost of debt. This study not only provides more insights about the consequences of stock price index additions and the determinants of stock price synchronicity,but also offers a useful thinking for the regulatory authorities to improve the CSI300 Index adjustment system.