摘要
A股纳入MSCI指数进一步扩大了我国资本市场对外开放程度。本文基于这一准自然实验,利用多时点DID模型评估A股纳入MSCI指数对我国股价异质性风险的影响及其传导机制。研究结果表明,A股纳入MSCI指数显著降低了股价异质性风险,其影响程度随着纳入权重的提高而增大,并且与纳入指数标的股票的流通市值正相关。进一步进行影响机制检验后发现,A股纳入MSCI指数通过提高股票定价效率、股票流动性以及公司信息透明度降低了股价异质性风险。研究结论对我国后续积极推进MSCI指数扩容进程以及进一步开放资本市场具有重要的启示意义。
The inclusion of A Shares in MSCI index has further expanded the opening degree of China’s capital market. Based on this quasi-natural experiment,this paper used the time-varying DID model to etimate at the impact of A Shares’ inclusion in MSCI index on China’s heterogeneous risk stock price and its trans mission mechanism. The results show that the inclusion of A Shares in MSCI index significantly reduces the risk of stock price heterogeneity,which increases with the increase of inclusion weight and is positively related to the circulating market value of the stocks included in the index. Further testing the influence mechanism shows that the inclusion of A Shares in MSCI index can reduce the risk of stock price heterogeneity by improving the efficiency of stock pricing,stock liquidity and transparency of corporate information. The research conclusions have important implications for China to actively promote the expansion of MSCI index and further open its capital market.
作者
张旭
王宝珠
刘晓星
ZHANG Xu;WANG Baozhu;LIU Xiaoxing(School of Management Science and Engineering,Nanjing University of Information Science&Technology,Nanjing Jiangsu 210044;School of Economics and Management,Southeast University,Nanjing Jiangsu 211189)
基金
国家社会科学基金专项课题“新时代基于系统性金融风险的国家金融安全体系研究”(18VSJ035)
国家自然科学基金“金融市场异常波动的共振效应及其智能监控研究”(71903097)
教育部人文社会科学研究青年基金项目“中国股票市场重大风险的生成机理、甄别与治理研究——基于市场流动性供需失衡视角”(18YJC790226)
江苏省基础研究计划(自然科学基金)“金融资产价格极端波动的共振机理及其风险防范研究”(BK20190767)
江苏省社会科学基金青年项目“‘双支柱’框架下基于机器学习的货币政策调控模式创新研究”(20EYC011)
中国博士后科学基金特别资助项目“基于流动性供需失衡的中国股票市场‘高波动之谜’研究”(2021T140335)
中国博士后科学基金面上资助项目“宏观经济动量研究”(2021M691635)。
