资本市场国际影响力提升效应研究——来自A股纳入明晟(MSCI)新兴市场指数的证据

2018年5月15日,首批纳入明晟(MSCI)新兴市场指数的A股股票名单正式公布。我们发现,被纳入MSCI的股票(标的股票)在公告日前后有显著为正的累计超额收益。相较于主要特征相似的匹配股票,标的股票纳入MSCI后的分析师评级有显著提升。进一步研究表明,在公告日前后融资(融券)交易量显著上升(下降),而换手率没有明显变化,并且净融资交易与公告效应显著正相关。本文的发现表明,A股纳入MSCI这一事件具有明显的信息含量,传递了有关企业前景的正面信息,并促使本地市场聪明投资者进行更活跃的交易,这对促进价格发现、促成价值投资具有一定的推动作用。

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

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.