{"title":"隐性壁垒、市场一体化和资产价格:中国 A 股纳入 MSCI 全球指数的证据","authors":"Bo Li , Qian Sun , Zhihua Wei","doi":"10.1016/j.intfin.2024.101998","DOIUrl":null,"url":null,"abstract":"<div><p>We examine the stock price reactions to the mass inclusion of China A-shares in the Morgan Stanley Capital International (MSCI) global indices and find that stocks that would be included in the MSCI global indices earned significantly positive abnormal returns when the inclusion plan was first announced. These unusual stock price changes are proportional to firm-specific conditional market risk, but not to firm-level changes in expected future cash flows or the domestic shareholder base. We also show that better firm transparency and stock liquidity strengthen the positive relationship between conditional market risk and stock price revaluation. Moreover, there is a positive externality effect on the stock prices and risk exposures of stocks that would not be included in the MSCI global indices. Our results demonstrate that MSCI inclusion not only directly integrates index-included stocks with the global market but also indirectly integrates non-index-included stocks with the global market. Since the successful inclusion of A-shares in MSCI global indices implies the reduction in implicit market barriers to international investors, our results provide empirical evidence for the proposition that the reduction in implicit market barriers contributes to market integration from the perspective of stock price revaluation.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"93 ","pages":"Article 101998"},"PeriodicalIF":5.4000,"publicationDate":"2024-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Implicit barriers, market integration and asset prices: Evidence from the inclusion of China A-shares in MSCI global indices\",\"authors\":\"Bo Li , Qian Sun , Zhihua Wei\",\"doi\":\"10.1016/j.intfin.2024.101998\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>We examine the stock price reactions to the mass inclusion of China A-shares in the Morgan Stanley Capital International (MSCI) global indices and find that stocks that would be included in the MSCI global indices earned significantly positive abnormal returns when the inclusion plan was first announced. These unusual stock price changes are proportional to firm-specific conditional market risk, but not to firm-level changes in expected future cash flows or the domestic shareholder base. We also show that better firm transparency and stock liquidity strengthen the positive relationship between conditional market risk and stock price revaluation. Moreover, there is a positive externality effect on the stock prices and risk exposures of stocks that would not be included in the MSCI global indices. Our results demonstrate that MSCI inclusion not only directly integrates index-included stocks with the global market but also indirectly integrates non-index-included stocks with the global market. Since the successful inclusion of A-shares in MSCI global indices implies the reduction in implicit market barriers to international investors, our results provide empirical evidence for the proposition that the reduction in implicit market barriers contributes to market integration from the perspective of stock price revaluation.</p></div>\",\"PeriodicalId\":48119,\"journal\":{\"name\":\"Journal of International Financial Markets Institutions & Money\",\"volume\":\"93 \",\"pages\":\"Article 101998\"},\"PeriodicalIF\":5.4000,\"publicationDate\":\"2024-04-16\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of International Financial Markets Institutions & Money\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1042443124000647\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of International Financial Markets Institutions & Money","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1042443124000647","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
摘要
我们研究了中国 A 股被大规模纳入摩根士丹利资本国际公司(MSCI)全球指数后的股价反应,发现将被纳入 MSCI 全球指数的股票在纳入计划首次公布时获得了显著的正异常回报。这些异常股价变化与公司特定的条件市场风险成正比,但与公司层面的预期未来现金流变化或国内股东基础无关。我们还发现,更好的公司透明度和股票流动性加强了条件市场风险与股价重估之间的正相关关系。此外,对于未被纳入 MSCI 全球指数的股票,其股价和风险敞口也会产生积极的外部效应。我们的研究结果表明,纳入 MSCI 指数不仅能直接将纳入指数的股票与全球市场结合起来,还能间接将未纳入指数的股票与全球市场结合起来。由于 A 股成功纳入 MSCI 全球指数意味着国际投资者面临的隐性市场壁垒减少,我们的结果为 "从股价重估的角度来看,隐性市场壁垒的减少有助于市场一体化 "这一命题提供了经验证据。
Implicit barriers, market integration and asset prices: Evidence from the inclusion of China A-shares in MSCI global indices
We examine the stock price reactions to the mass inclusion of China A-shares in the Morgan Stanley Capital International (MSCI) global indices and find that stocks that would be included in the MSCI global indices earned significantly positive abnormal returns when the inclusion plan was first announced. These unusual stock price changes are proportional to firm-specific conditional market risk, but not to firm-level changes in expected future cash flows or the domestic shareholder base. We also show that better firm transparency and stock liquidity strengthen the positive relationship between conditional market risk and stock price revaluation. Moreover, there is a positive externality effect on the stock prices and risk exposures of stocks that would not be included in the MSCI global indices. Our results demonstrate that MSCI inclusion not only directly integrates index-included stocks with the global market but also indirectly integrates non-index-included stocks with the global market. Since the successful inclusion of A-shares in MSCI global indices implies the reduction in implicit market barriers to international investors, our results provide empirical evidence for the proposition that the reduction in implicit market barriers contributes to market integration from the perspective of stock price revaluation.
期刊介绍:
International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.