跨境资本流动顺周期性及其异质性的微观机制——兼论A股被纳入国际基准指数的影响

Micro mechanisms of procyclicality of cross-border capital flows and their heterogeneity:On the impact of A-shares inclusion in global benchmark indexes

采用1997年—2019年EPFR基金层面微观数据,从投资者结构出发,研究了全球金融周期对新兴市场跨境股票资本流动的异质性影响及其潜在原因.结果发现,新兴市场的跨境股票基金资本净流入相对全球金融周期呈顺周期性,并且相比于共同基金,交易所交易基金(ETF)对全球金融周期的敏感度是其1.7倍~1.8倍.其背后的原因在于,ETF的投资者中有着更高比例的短期投资者和基准指数驱动型投资者.此外,本文还以MSCI-新兴市场指数为例,讨论A股被纳入国际基准指数的影响.并通过宏观层面加总分析,以及进一步分解全球金融周期因子等方法验证了本文结论.本文的政策含义在于,随着中国金融市场进一步扩大开放,政策制定者除了监测跨境证券资本流动的总体规模,还应对资本流动背后的投资者类型和结构进行监测,并由此采取相应的宏微观审慎管理措施以防范外部冲击带来的金融风险.

Using EPFR fund-level data from 1997 to 2019,this paper investigates the heterogeneous impact of the global financial cycle on cross-border equity flows in emerging markets and its underlying causes from the perspective of investor structure.The results find that net inflows to cross-border equity fund in emerging markets are procyclical and the sensitivity of flows to the global financial cycle for ETF is 1.7~1.8 times higher than for mutual funds.The reason behind this is that ETF has a higher proportion of short-term investors and benchmark-driven investors.In addition,taking the MSCI-EM index as an example,this paper discusses the impact of A-shares inclusion in global benchmark indexes.The findings are verified by macro-level aggregate analysis and further decomposition of the global financial cycle factor.The policy implication is that policymakers should not only pay attention to the scale of cross-border portfolio flows,but also monitor the investor types and structures behind flows,and adopt corresponding macro-prudential and micro-prudential management measures to prevent financial risks from external shocks.