MSCI 纳入公告的溢出效应：来自中国的证据和影响

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal Pub Date : 2024-11-13 DOI:10.1016/j.pacfin.2024.102582

Zhihua Wei , Deqian Wu , Aimin Zeng , Bo Li

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引用次数: 0

摘要

我们调查了未被纳入 MSCI 全球指数的股票对 MSCI 纳入公告的价格反应。我们发现，有关联的股票会产生积极的重估效应，而没有关联的股票则不会。基于制度背景和现有理论，我们提出了三个非竞争假说：信号传递假说、投机交易假说和市场整合假说。通过一系列检验，我们证明市场整合假说可以解释这一现象。具体而言，关联股票的价格重估与公司特定的条件市场风险成正比，这种关系在高透明度和高流动性的公司中更为强烈，并因 B 股或 H 股的存在而受到抑制。我们的论文为全球指数纳入对资产价格和市场一体化程度的影响提供了新的证据和见解。

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Spillover effects of MSCI inclusion announcement: Evidence and implications from China

We investigate the price reactions of stocks that would not be included in the MSCI global indices to the MSCI inclusion announcement. We document a positive revaluation effect for connected stocks, but not for unconnected stocks. Based on the institutional background and existing theories, we propose three non-competing hypotheses: the signaling hypothesis, the speculative trading hypothesis, and the market integration hypothesis. With a series of tests, we demonstrate that the market integration hypothesis can explain this phenomenon. Specifically, the price revaluations of connected stocks are proportional to firm-specific conditional market risk, and this relationship is stronger in firms with high transparency and liquidity and is dampened by the existence of B- or H-shares. Our paper provides new evidence and insights into the impact of global index inclusion on asset prices and the degree of market integration.

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.