资本市场国际化与投资—股价敏感性:基于A股纳入MSCI指数准自然实验的研究

Internationalization of Capital Market and Investment-Price Sensitivity:A Quasi-natural Experiment of China’s Ashares added into MSCI Index

A股正式纳入摩根士丹利资本国际公司(MSCI)新兴市场指数进一步推动了中国资本市场国际化,为金融领域对外开放带来革命性的积极变化。文章基于双重差分模型,利用A股纳入MSCI的外生事件考察股价的“反馈效应”,并基于管理学习假说研究中国资本市场国际化对投资—股价敏感性的影响,即公司投资在上市公司被纳入MSCI新兴市场指数后是否会对股价更敏感。研究发现,A股市场存在反馈效应,且相较于主要特征相似的匹配公司,A股纳入MSCI后显著增加了标的上市公司的投资—股价敏感性。另外,这种效应更显著地存在于治理水平低和融资约束程度高的公司中。进一步分析表明,A股纳入MSCI后提高公司投资—股价敏感性的主要原因在于强化了管理层从股价变动中学习信息的动机,有助于公司进行评估投资决策。受益于股价信息环境的公司如新兴行业以及国际化公司在A股纳入MSCI后反馈效应更为显著,对投资后果研究发现A股纳入MSCI能有效提高投资效率。文章研究结果表明资本市场国际化有利于引导实体经济发展,帮助上市公司提升资源配置效率,对完善投资决策有效性有一定的实践价值。

On May 15th,2018,A-shares were officially included in the Morgan Stanley Capital International(MSCI)Emerging Market Index,which further promotes the internationalization of China’s capital market and brings positive revolutionary changes to the opening up in financial sector.Based on the DID model,this paper uses the exogenous event of A-shares addition into MSCI to study the impact of the internationalization of China’s capital market on investment-price sensitivity,that is,whether the corporate investment will be more sensitive to the stock price after including the listed company in the MSCI Emerging Market Index.The study found that there is a feedback effect in the A-shares market and that including A-shares into MSCI significantly increases the investment-price sensitivity of the target listed companies compared to matched companies with similar key characteristics.In addition,this effect is more prominent in companies with low governance levels and high degree of financing constraints.Further analysis shows that the main reason for the increase in the company’s investment-price sensitivity after A-shares inclusion into MSCI is to strengthen the management’s motivation to learn information from stock price changes,which is helpful for the company to evaluate investment decisions.This paper finds that companies expecting to obtain information from foreign capital markets,such as emerging industries and international companies,have a more significant feedback effect after A-shares inclusion into MSCI.The research on the investment consequences finds that A-shares inclusion into MSCI can effectively improve investment efficiency.The research results of this paper show that the internationalization of capital markets can help listed companies improve the efficiency of resource allocation,guide the real economy,and have certain practical value for improving the effectiveness of investment decision-making.