|
|
|
| The International Influence Promotion Effect of Capital Market: Evidence from the Inclusion of the A-share Market in the Morgan Stanley Capital International Emerging Market Index |
| NI Xiaoran, GU Ming
|
| School of Economics, Xiamen University |
|
|
|
Abstract This paper uses the formal disclosure of stocks as members of the MSCI Emerging Market Index on May 15, 2018 to examine the announcement effect of pilot stocks. We measure the market reaction of the MSCI announcement by the cumulative excess returns in the three-day window around the announcement. We construct two samples: selected firms, which are included in the MSCI list, and matching firms, which are not included in the list but share size and industry characteristics with selected firms. We compare the market reaction of these two samples around the MSCI announcement. The cumulative excess return of selected firms' stocks in the three-day window around the announcement is 1.54% (t-stat=5.21), indicating that the stock price of this group increases significantly around the date of the announcement. In contrast, the cumulative excess return of matching firms' stocks is 0.07% (t-stat=0.18), indicating that there was no significant change in their stock price around the announcement day. The difference in cumulative excess return between the two samples is 1.47% (t-stat=3.06). These findings suggest that the inclusion of A-shares in the MSCI list has a significant positive announcement effect. In the long run, we still observe significant positive market reactions and no significant reversals, indicating a persistent announcement effect of MSCI inclusion.
We then investigate the possible mechanisms underlying these findings. Is the inclusion of the A-share market in MSCI informative？ Specifically, does the positive announcement effect occur because sophisticated investors are more active in trading, as they might gain positive information from the MSCI inclusion？ Or is it simply driven by short-term speculative trading and market sentiment？ Researchers usually propose two hypotheses regarding the positive index effects: the information-driven hypothesis and the demand-driven hypothesis.
First, we perform empirical tests to examine the demand-driven hypothesis. If this hypothesis applies, stocks with closer substitutes may be subject to less price pressure and experience a lower price reaction. We split the pilot stocks into stocks with substitutes and stocks with no substitutes, and compare their price reactions. We find that around the announcement window, the abnormal returns of stocks with close substitutes are substantially higher than those of stocks with no substitutes. At the same time, the matching firms do not exhibit a significant announcement effect. These findings contradict the demand-driven hypothesis but to some extent support the information-driven hypothesis.
Second, we use the three-month window before and after the MSCI announcement to examine whether there is any significant change in analyst ratings, liquidity, or turnover rates for selected stocks. We study the performance of the selected stocks and matching stocks before and after the announcement using a difference-in difference (DID) technique. The change in analyst rating of the selected stocks before and after the announcement, compared with that of the matching stocks, is significantly positive (DID=0.21, t-stat=3.07). It is clear that inclusion in the MSCI means that the underlying stock is more likely to experience an analyst rating upgrade. The liquidity of the selected and matching stocks actually decreases after the announcement, although the liquidity of the underlying stock improves somewhat compared with that of the matching stocks (DID=-0.15%, t-stat=1.72). The turnover of the underlying stock does not change significantly before and after the announcement (DID=0.03, t-stat=1.18). Overall, this indicates that the MSCI announcement has information content and delivers favorable information to the market about the prospects of the underlying stocks.
Furthermore, we show that abnormal margin trading (short selling) increases (decreases) significantly for pilot stocks, while abnormal turnover changes very little. In addition, margin trading has a significantly positive relationship with the announcement effect. As investors eligible for margin trading and short selling are relatively sophisticated, due to the requirements of the China Securities Regulatory Commission, our evidence implies that the announcement effect may be driven by informed trading, in line with the information-driven hypothesis.
Overall, our findings suggest that inclusion in the MSCI conveys favorable information about the firm. In terms of policy implications, we believe that the further opening of the market will encourage informed trading, facilitate price discovery, and improve market efficiency.
|
|
Received: 03 February 2019
Published: 10 June 2020
|
|
|
|
|
| Cite this article: |
|
NI Xiaoran,GU Ming. The International Influence Promotion Effect of Capital Market: Evidence from the Inclusion of the A-share Market in the Morgan Stanley Capital International Emerging Market Index[J]. Journal of Financial Research,
2020, 479(5): 189-206.
|
|
|
|
| URL: |
| http://www.jryj.org.cn/EN/ OR http://www.jryj.org.cn/EN/Y2020/V479/I5/189 |
| [1] |
蔡庆丰和杨侃,2013,《是谁在“捕风捉影”:机构投资者 VS 证券分析师——基于 A 股信息交易者信息偏好的实证研究》,《金融研究》第6期,第193～206页。
|
| [2] |
陈国进、张贻军和刘淳,2010,《机构投资者是股市暴涨暴跌的助推器吗？——来自上海 A 股市场的经验证据》,《金融研究》第11期,第45～59页。
|
| [3] |
胡熠和顾明,2018,《巴菲特的阿尔法:来自中国股票市场的实证研究》,《管理世界》第8期,第41～54页。
|
| [4] |
李科、徐龙炳和朱伟骅,2014,《卖空限制与股票错误定价——融资融券制度的证据》,《经济研究》第10期,第165～178页。
|
| [5] |
李志生、陈晨和林秉旋,2015,《卖空机制提高了中国股票市场的定价效率吗？——基于自然实验的证据》,《经济研究》第4期,第165～177页。
|
| [6] |
孟庆斌、侯德帅和汪叔夜,2018,《融券卖空与股价崩盘风险——基于中国股票市场的经验证据》,《管理世界》第4期,第40～54页。
|
| [7] |
史永东和王谨乐,2014,《中国机构投资者真的稳定市场了吗？》,《经济研究》第12期,第100～112页。
|
| [8] |
王咏梅和王亚平,2011,《机构投资者如何影响市场的信息效率——来自中国的经验证据》,《金融研究》第10期,第112～126页。
|
| [9] |
肖浩和孔爱国,2014,《融资融券对股价特质性波动的影响机理研究:基于双重差分模型的检验》,《管理世界》第8期,第30～43页。
|
| [10] |
许红伟和陈欣,2012,《我国推出融资融券交易促进了标的股票的定价效率吗？——基于双重差分模型的实证研究》,《管理世界》第5期,第52～61页。
|
| [11] |
许年行、于上尧和伊志宏,2013,《机构投资者羊群行为与股价崩盘风险》,《管理世界》第7期,第31～43页。
|
| [12] |
严佳佳、郭玮和黄文彬,2015,《“沪港通”公告效应比较研究》,《经济学动态》第12期,第69～77页。
|
| [13] |
叶康涛、刘芳和李帆,2018,《股指成份股调整与股价崩盘风险:基于一项准自然实验的证据》,《金融研究》第3期,第172～189页。
|
| [14] |
郑振龙和孙清泉,2013,《彩票类股票交易行为分析:来自中国A股市场的证据》,《经济研究》第5期,第128～140页。
|
| [15] |
钟覃琳和陆正飞,2018,《资本市场开放能提高股价信息含量吗？——基于“沪港通”效应的实证检验》,《管理世界》第1期,第169～179页。
|
| [16] |
Amihud Y. 2002. “Illiquidity and Stock Returns: Cross-section and Time-series Effects”. Journal of Financial Markets, 5(1): 31～56.
|
| [17] |
Bae K H, Chan K, and Ng A. 2004. “Investibility and Return Volatility”. Journal of Financial Economics, 71(2): 239～263.
|
| [18] |
Bekaert G, and Harvey C R. 2000. “Foreign Speculators and Emerging Equity Markets”. Journal of Finance, 55(2): 565～613.
|
| [19] |
Cai J. 2007. “What's in the News？ Information Content of S&P 500 Additions”. Financial Management, 36(3): 113～124.
|
| [20] |
Chakrabarti R, Huang W, and Jayaraman N, et al. 2005. “Price and Volume Effects of Changes in MSCI Indices-Nature and Causes”. Journal of Banking & Finance, 29(5): 1237～1264.
|
| [21] |
Chan K, Kot H W, and Tang G Y N. 2013. “A Comprehensive Long-term Analysis of S&P 500 Index Additions and Deletions”. Journal of Banking & Finance, 37(12): 4920～4930.
|
| [22] |
Chang Y C, Hong H, and Liskovich I. 2015. “Regression Discontinuity and the Price Effects of Stock Market Indexing”. Review of Financial Studies, 28(1): 212～246.
|
| [23] |
Chen H, Noronha G, and Singal V. 2004. “The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation”, Journal of Finance, 2004, 1901～1930.
|
| [24] |
Chen H L, Shiu C Y, and Wei H S. 2019. “Price Effect and Investor Awareness: Evidence from MSCI Standard Index Reconstitutions”. Journal of Empirical Finance, 50(C): 93～112.
|
| [25] |
Denis D K, McConnell J J, and Ovtchinnikov A V, et al. 2003. “S&P 500 Index Additions and Earnings Expectations”. Journal of Finance, 58(5): 1821～1840.
|
| [26] |
Dhillon U, and Johnson H. 1991. “Changes in the Standard and Poor's 500 List”. Journal of Business, 75～85.
|
| [27] |
Ferreira M A, and Matos P. 2008. “The Colors of Investors' Money: The Role of Institutional Investors Around the World”. Journal of Financial Economics, 88(3): 499～533.
|
| [28] |
Harris L, and Gurel E. 1986. “Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures”. Journal of Finance, 41(4): 815～829.
|
| [29] |
Hegde S P, and McDermott J B. 2003. “The Liquidity Effects of Revisions to the S&P 500 Index: An Empirical Analysis”. Journal of Financial Markets, 6(3): 413～459.
|
| [30] |
Jain P C. 1987. “The Effect on Stock Price of Inclusion in or Exclusion from the S&P 500”. Financial Analysts Journal, 43(1): 58～65.
|
| [31] |
Meng Q, Li Y, and Jiang X, et al. 2017. “Informed or Speculative Trading？ Evidence from Short Selling Before Star and Non-star Analysts' Downgrade Announcements in an Emerging Market”. Journal of Empirical Finance, 42: 240～255.
|
| [32] |
Peng L, and Xiong W. 2006. “Investor Attention, Overconfidence and Category Learning”. Journal of Financial Economics, 80(3): 563～602.
|
| [33] |
Pruitt S W, and Wei K C J. 1989. “Institutional Ownership and Changes in the S&P 500”. Journal of Finance, 44(2): 509～514.
|
| [34] |
Sias R W. 1996. “Volatility and the Institutional Investor”. Financial Analysts Journal, 52(2): 13～20.
|
| [35] |
Scholes M S. 1972. “The Market for Securities: Substitution versus Price Pressure and the Effects of Information on Share Prices”. Journal of Business, 45(2): 179～211.
|
| [36] |
Shleifer A. 1986. “Do Demand Curves for Stocks Slope Down？”. Journal of Finance, 41(3): 579～590.
|
| [37] |
Stiglitz J E. 1999. “Reforming the Global Economic Architecture: Lessons from Recent Crises”. Journal of Finance, 54(4): 1508～1521.
|
|
|
|
