A股纳入MSCI指数改善中国资本市场定价效率了吗?

Does the Inclusion of Chinese A-shares in the MSCI EM index improve the price efficiency?

A股纳入MSCI新兴市场指数进一步改善了中国资本市场的定价效率。文章基于A股纳入MSCI指数这一准自然实验,利用双重差分模型,使用盈余公告后价格漂移作为定价效率的逆向指标,检验了A股纳入MSCI指数盈余公告后价格漂移的变化及其传导机制。从微观视角考察了A股纳入MSCI指数对中国资本市场定价效率的影响。研究结果表明,A股纳入MSCI指数显著降低了盈余公告后价格漂移,这主要得益于外国投资者的增量信息提高了股价的信息吸收效率;外国投资者的风险分担平滑了股票收益波动,减少了处置效应,改善了投资者对盈余信息的反应程度。机制检验进一步发现,A股纳入MSCI指数降低了交易成本,改善了信息不对称,从而削弱了盈余公告后价格漂移。研究结论表明,A股纳入MSCI指数通过改善信息效应和风险分担,有效提高了中国资本市场定价效率,对中国进一步开放资本市场具有重要的启示意义。

This paper studies the improvement of the price efficiency in Chinese capital market after the inclusion of Chinese A-shares in the MSCI EM index. We perform a difference-in-difference analysis using the announcement of the Chinese A-shares’ inclusion into the MSCI EM as natural experiment to investigate the post-earnings announcement drift,which is the adverse proxy to measure the price efficiency of the capital market. Our first finding is that the inclusion of Chinese A-shares in the MSCI EM index has negative impact on the post-earnings announcement drift,which is attributed to the incremental information that is braced by foreign investors. The second finding is that the risk sharing arising from uninformed foreign investors smooths fluctuations in asset returns,and therefore,reduces the disposition effects and improves the investor reaction to the earnings announcement. The mechanism analysis shows that the inclusion of Chinese A-shares in the MSCI EM index decreases the transaction costs and information asymmetry,resulting in mitigate the post-earnings announcement. This paper provides the empirical evidences about the positive impacts of capital liberalization on market efficiency,which has implicit policy implication.