资本市场国际化的鞭策效应:A股纳入MSCI指数与企业ESG表现

Incentive Effect of Capital Market Internationalization:A-shares into MSCI and Corporate ESG Performance

经济全球化是时代发展趋势,资本市场国际化如何影响企业可持续经营理念备受关注。本文基于2018年6月A股正式纳入MSCI新兴市场指数(A股“入摩”)这一外生事件,使用多时点双重差分模型,探讨中国资本市场的国际化进程对企业ESG表现的影响与内在机理。研究发现,A股“入摩”对企业ESG表现产生了积极影响,主要提升了企业在环境(E)和治理(G)方面的表现。机制分析表明,这种积极影响源于企业对融资需求、境外投资者融入和外部关注压力三方面的考量。进一步分析表明,A股“入摩”对企业ESG提升存在溢出效应,且“入摩”后积极提升ESG的企业在后续经济绩效与治理水平方面均有显著提升。本文研究表明,深化中国资本市场国际化有助于提升企业管理者对ESG表现的关注,不仅进一步揭示了资本市场改革建设的积极作用,对于思考如何推动中国企业的ESG投入也具有重要启示意义。

Developing capital markets and having a strong financial function is a core economic goal of global powers.With the increasing economic ties between countries,the concept of international capital is gradually integrated into the development planning of various countries.In the past 40 years of reform and opening-up,China has made a lot of efforts to promote the capital market.The opening of the Shanghai-Hong Kong Stock Connect and the Shenzhen-Hong Kong Stock Connect and the inclusion of Ashares in the MSCI Emerging Markets Index are important measures for China to gradually integrate into the world’s financial system,and China’s economic construction is increasingly having a diversified form.At present,China’s economy has shifted from the stage of high-speed growth to high-quality development.The inclusion of A-shares in the MSCI index will enhance the linkage between the Chinese market and the global market and further deepen the degree of internationalization,which will also have an all-round effect on the reform of China’s capital market.The investor value concept from the developed capital market will be transmitted to the Chinese capital market,which may directly or indirectly affect the ESG performance of enterprises.In addition,enterprises in developed countries attach more importance to and implement ESG than Chinese enterprises.To succeed in the international market,Chinese enterprises included in MSCI need to make reasonable planning and adjustment in resource allocation and may re-plan their own ESG strategies.Therefore,how will the inclusion of A-shares in the MSCI index—a capital market internationalization event—affect the ESG performance of enterprises?Will companies included in the MSCI Index make ESG investing an important strategy for their international competition?This study focuses on these issues.Based on the exogenous event of A-shares inclusion in the MSCI Emerging Markets Index(“Ashares into MSCI”)in June 2018,this study explores the impact of the internationalization of China’s capital market on corporate ESG performance and the underlying mechanisms.The main findings are as follows:(1)A-shares into MSCI has a positive impact on corporate ESG performance,mainly in the areas of environment(E)and governance(G).(2)The mechanism analysis reveals that this positive impact is due to three considerations—corporate demand for financing,integration of foreign investors,and pressure for attention.(3)In the internal dimension,the positive effect of A-shares into MSCI on ESG performance is more pronounced among companies whose executives have an overseas background and heavy pollution industry,while in the external dimension,the positive effect is more pronounced among companies with high competitive pressure in the industry,low regional openness,and not in the Shanghai-Hong Kong Stock Connect program or not Shenzhen-Hong Kong Stock Connect program.(4)Further analysis reveals that there is a spillover effect of A-shares into MSCI on ESG improvement,and companies that actively improve their ESG after joining MSCI see a significant improvement in their economic performance and governance level.This study indicates that deepening the internationalization of China’s capital market has helped to raise the attention of corporate managers to ESG performance,which not only further reveals the positive effects of capital market reform and construction but also has important implications for determining how to promote ESG investment in Chinese companies.The contributions of this study are as follows.(1)By using the quasi-natural experiment of the inclusion of A-shares in MSCI index,it overcomes endogenous problems such as reverse causality,which are common in the research of capital market development,and effectively identifies the causal relationship between the internationalization of capital market and the ESG performance of enterprises.(2)It expands research on the impact of capital market internationalization on microenterprise decisionmaking.From the perspective of enterprise ESG,it discusses the impact of the internationalization of China’s capital market on enterprises’sustainable management concepts,further clarifies the internal mechanism of the impact of capital market internationalization on enterprises’ESG performance,and provides empirical evidence for deepening the sustainable development practice of Chinese enterprises.(3)This study focuses on the inclusion of A-shares in MSCI index,providing empirical evidence for its impact from a micro perspective.The inclusion of A-shares in the MSCI index is an important event for the integration of China’s capital market into the international market and provides certain enlightenment for the next step of the reform and development of the Chinese market.Therefore,a comprehensive analysis of the inclusion of A-shares in the MSCI index—an international event of the capital market—is of great significance for the healthy and mature development of China’s economy.