{"title":"中国资本市场开放对国内股票特质风险的影响","authors":"Chenpeng Du","doi":"10.47260/jafb/1225","DOIUrl":null,"url":null,"abstract":"Abstract \n\nIn this paper we studied impact of an exogenous event that represents China’s capital market opening up policy: the “A-share inclusion in the MSCI index” for China’s domestic Stock assets. By constructing the Diff in Diff (DID) model, it is found that event have significantly reduce the idiosyncratic risk of the stocks that have been included into the index, which proved that the overall advantages of the capital market opening up policy outweigh the disadvantages.\n\nKeywords: Capital market opening up, Idiosyncratic risk, Liquidity.","PeriodicalId":275154,"journal":{"name":"Journal of Applied Finance & Banking","volume":"32 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2022-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The Impact of China’s Capital Market Opening Up to the Domestic Stock Idiosyncratic Risk\",\"authors\":\"Chenpeng Du\",\"doi\":\"10.47260/jafb/1225\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Abstract \\n\\nIn this paper we studied impact of an exogenous event that represents China’s capital market opening up policy: the “A-share inclusion in the MSCI index” for China’s domestic Stock assets. By constructing the Diff in Diff (DID) model, it is found that event have significantly reduce the idiosyncratic risk of the stocks that have been included into the index, which proved that the overall advantages of the capital market opening up policy outweigh the disadvantages.\\n\\nKeywords: Capital market opening up, Idiosyncratic risk, Liquidity.\",\"PeriodicalId\":275154,\"journal\":{\"name\":\"Journal of Applied Finance & Banking\",\"volume\":\"32 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2022-02-22\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Applied Finance & Banking\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.47260/jafb/1225\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Applied Finance & Banking","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.47260/jafb/1225","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The Impact of China’s Capital Market Opening Up to the Domestic Stock Idiosyncratic Risk
Abstract
In this paper we studied impact of an exogenous event that represents China’s capital market opening up policy: the “A-share inclusion in the MSCI index” for China’s domestic Stock assets. By constructing the Diff in Diff (DID) model, it is found that event have significantly reduce the idiosyncratic risk of the stocks that have been included into the index, which proved that the overall advantages of the capital market opening up policy outweigh the disadvantages.
Keywords: Capital market opening up, Idiosyncratic risk, Liquidity.
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