A 股纳入国际指数对资本市场效率的影响研究

随着资本市场国际化程度不断加深，国际资本流动在调节国家与地区间资源配置上的作用不断加强。中国A股被纳入以明晟（MSCI）指数为代表的国际指数，意味着中国资本国际化步伐在不断加快，给中国资本市场发展带来巨大的契机。但是随着大量外资的涌入，中国资本市场所面临的风险也在不断加大。资本市场效率是衡量资本市场成熟的重要标志，也是中国资本市场高质量发展的终极目标之一。因此，研究A股纳入国际市场指数对资本市场效率的影响具有重要的理论与现实意义。

本文基于时间序列分析方法，详尽地研究了A股纳入国际指数对资本市场的影响。首先，通过考察中国资本市场的金融时间序列特征，选择能够体现时间序列长记忆性和结构变化的MSARFIMA-FIGARCH模型进行建模；然后，通过模型模拟与预测，考察模型对数据的拟合能力，确定该模型的可行性；然后，基于该模型考察时间序列的长记忆性和结构变化特征，分析资本市场的当前效率和效率变化，肯定A股纳入国际指数对资本市场有效性的提升；最后，利用协整的方法研究A股纳入国际指数对资本市场的市场热度、外资吸引力、信息透明度和波动进行研究，用实证的方法探索可能的有利和不利影响。

研究发现，当前我国资本市场尚未达到弱式有效阶段，但是A股纳入国际指数确实地提升了我国资本市场的效率，增加了市场的热度、国外投资、和信息透明度，但同时也增加了市场的波动性。因此，建议监管当局尽快完善管控体系，完善服务与配套，为资本市场国际化做好准备。

As the internationalization of the capital market continues to deepen, the role of international capital flows in regulating the allocation of resources between countries and regions is constantly increasing. The inclusion of China A-shares in international indices represented by the MSCI index means that the pace of China's capital internationalization is constantly accelerating, bringing huge opportunities for the development of China's capital market. However, with the influx of a large amount of foreign capital, the risks faced by China's capital market are also increasing. Capital market efficiency is an important indicator for measuring the maturity of the capital market, and it is also one of the ultimate goals of high-quality development of China's capital market. Therefore, studying the impact of the inclusion of A-shares in international market indices on capital market efficiency has important theoretical and practical significance.

This article is based on the time series analysis method to comprehensively study the impact of the inclusion of A-shares in international indices on the capital market. Firstly, by examining the financial time series characteristics of China's capital market, the MSARFIMA-FIGARCH model, which can reflect the long memory and structural changes of time series, is selected for modeling. Then, by simulating and predicting the model, the fitting ability of the model to the data is examined to determine the feasibility of the model. Furthermore, based on this model, the long memory and structural change characteristics of the time series are examined, and the current efficiency and efficiency changes of the capital market are analyzed to affirm the enhancement of the effectiveness of the capital market with the inclusion of A-shares in international indices. Finally, the cointegration method is used to study the market heat, foreign capital attractiveness, information transparency, and volatility of the capital market with the inclusion of A-shares in international indices, and empirical methods are used to explore possible favorable and unfavorable effects.

The finding reveal that China's capital market has not yet reached the weak-form efficiency stage, but the inclusion of A-shares in international indices has indeed enhanced the efficiency of China's capital market, increased market heat, foreign investment, and information transparency, while also increasing market volatility. Therefore, it is recommended that regulatory authorities improve the control system and supporting services as soon as possible to prepare for the internationalization of the capital market.

[1] KARANASOS M, YFANTI S, HUNTER J. Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises[J]. Annals of Operations Research, 2022, 313(2): 1077-1116.
[2] DENG Y, HOPE O K, WANG C, et al. Capital market liberalization and auditors' accounting adjustments: Evidence from a quasi‐experiment[J]. Journal of Business Finance & Accounting, 2022, 49(1-2): 215-248.
[3] 倪骁然, 顾明. 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[J]. 金融研究, 2020(5): 189-206.
[4] 钟覃琳, 陆正飞. 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[J]. 管理世界, 2018, 34(1): 169-179.
[5] 谭常春, 莫凌玉, 彭亲红. 资本市场国际化如何提高股价信息含量——基于A股纳入MSCI指数的准自然实验[J]. 金融监管研究, 2021(9): 63-82.
[6] 顾煜, 施雯. A股“入摩”改善了股票市场的信息环境吗？——基于分析师盈利预测的视角[J]. 金融发展研究, 2021(4): 69-75.
[7] 张旭, 王宝珠, 刘晓星. A股纳入MSCI指数与股价异质性风险[J]. 国际商务(对外经济贸易大学学报), 2021(4): 139-156.
[8] 杜玉林. 新兴股票市场与发达股票市场融合动态研究——基于韩国股指纳入MSCI-EM指数的实证分析[J]. 价格理论与实践, 2016(12): 131-134.
[9] CHU X, SONG S. Cross-Sectional Reversal of Intraday Returns and Investor Heterogeneity in an Emerging Market[J]. Borsa Istanbul Review, 2023, 23(2): 32-45.
[10] LIU M, GUO T, PING W et al. Sustainability and stability: Will ESG investment reduce the return and volatility spillover effects across the Chinese financial market?[J]. Energy Economics, 2023: 106674.
[11] ELYASIANI E, JIA J J, MAO C X. Institutional ownership stability and the cost of debt[J]. Journal of Financial Markets, 2010, 13(4): 475-500.
[12] BOONE A L, WHITE J T. The effect of institutional ownership on firm transparency and information production[J]. Journal of Financial Economics, 2015, 117(3):508-533.
[13] 邵磊. A股纳入国际指数对我国资本市场的影响研究[J]. 中国产经, 2022, 285(5): 135-137.
[14] LI W, XIE R. A-share inclusion in MSCI index and its impact on the efficiency of China's capital market[J]. Journal of Financial Risk Management, 2020,17(1): 28-40.
[15] ANTONELLI S, CORNELI F, FERRIANI F, et al. Benchmark effects from the inclusion of Chinese A-shares in the MSCI EM index[J]. Economics Letters, 2022, 216: 110600.
[16] 樊鹏英, 钟丽雨, 张正平. 资本市场国际化能提升企业价值吗？——基于A股纳入MSCI指数的准自然实验[J]. 武汉金融, 2022(12): 3-13.
[17] 管河山, 闫文玉. A股纳入MSCI指数能提高股价信息含量吗?——基于股价同步性的分析[J]. 会计之友, 2020(15): 28-35.
[18] 戴鹏毅, 杨胜刚, 张少勇, 等. 外资机构持股能提升股票定价效率吗？——来自A股纳入明晟新兴市场指数的经验证据[J]. 证券市场导报, 2022(8): 60-69.
[19] 郝亚绒, 董斌. A股纳入MSCI指数改善中国资本市场定价效率了吗?[J]. 世界经济研究, 2022(7): 76-89.
[20] 黄洁, 王晓冉, 王瑶瑶, 等. 我国A股纳入MSCI指数对资本市场开放进程的影响及建议[J]. 西部金融, 2020(11): 4-9.
[21] 李瑾. 我国A股市场ESG风险溢价与额外收益研究[J]. 证券市场导报, 2021(6): 24-33.
[22] ALON I, ANDERSON J, MUNIM Z H, et al. A review of the internationalization of Chinese enterprises[J]. Asia Pacific Journal of Management, 2018, 35: 573-605.
[23] WANG S, GUO Z. A study on the co‐movement and influencing factors of stock markets between China and the other G20 members[J]. International Journal of Finance & Economics, 2020, 25(1): 43-62.
[24] 许年行, 于上尧, 伊志宏. 机构投资者羊群行为与股价崩盘风险[J]. 管理世界, 2013(7): 31-43.
[25] 郭东杰, 李梦雨, 邹谧. 我国上市公司的社会责任研究——基于境内外机构投资者比较的视角[J]. 贵州财经大学学报, 2023(2): 42-52.
[26] 黎精明, 黄金城. MSCI扩容对上市公司盈余管理的影响研究[J]. 会计之友, 2023(2): 86-92.
[27] 张曾莲, 施雯. 资本市场国际化能抑制公司违规吗？——基于A股纳入明晟(MSCI)新兴市场指数的准自然实验[J]. 证券市场导报, 2021(12): 23-33.
[28] TAN Y, ZHU Z. The effect of ESG rating events on corporate green innovation in China: The mediating role of financial constraints and managers' environmental awareness[J]. Technology in Society, 2022, 68: 101906.
[29] DU C. The Impact of China’s Capital Market Opening Up to the Domestic Stock Idiosyncratic Risk[J]. Journal of Applied Finance & Banking, 2022, 12(2): 83-100.
[30] AMIN N, TAUSEEF S. Does an optimal ESG score exist? Evidence from China[J]. Macroeconomics and Finance in Emerging Market Economies, 2022: 1-19.
[31] SHAN C, TANG D Y, WANG S Q, et al. The diversification benefits and policy risks of accessing China’s stock market[J]. Journal of Empirical Finance, 2022, 66: 155-175.
[32] HWANG J, CHO E. Pension Fund Trading Behavior and the Index Inclusion: Evidence from the Korean Stock Market[J]. Emerging Markets Finance and Trade, 2023, 59(3): 605-622.
[33] DU Q, LIANG D, CHEN Z, et al. Concept links and return momentum[J]. Journal of Banking & Finance, 2022, 134: 106329.
[34] XIE Y, JIAO F, LI S, et al. Systemic risk in financial institutions: A multiplex network approach[J]. Pacific-Basin Finance Journal, 2022, 73: 101752.
[35] SCHRÖDER D. The role of market efficiency on implied cost of capital estimates: an international perspective[J]. Annals of Finance, 2020, 16(4): 463-499.
[36] BOFINGER Y, HEYDEN K J, ROCK B. Corporate social responsibility and market efficiency: Evidence from ESG and misvaluation measures[J]. Journal of Banking & Finance, 2022, 134: 106322.
[37] CHENG Y C, CHANG H C, WANG Y H, et al. Effects of Inclusion of China A-shares into the MSCI indexes on Prices and Volumes[J]. Journal of Accounting, Finance & Management Strategy, 2021, 16(1): 1-38.
[38] 李江平. 纳入明晟指数究竟会带给A股什么——基于深港通制度的反事实评估方法研究[J]. 金融经济学研究, 2018, 33(4): 77-86.
[39] FANG D, OLTEANU-VEERMAN D. The case for factor investing in China a shares[J]. The Journal of Index Investing, 2020, 11(2): 76-91.
[40] 胡海峰, 王灿灿. 资本市场透明度研究新进展[J]. 经济学动态, 2022(6): 131-149.
[41] ZHAO Y, MAO J. Mixed ownership reforms and the transparency of nonstate‐owned enterprises: Evidence from China[J]. Managerial and Decision Economics, 2023, 44(1): 271-284.
[42] HANSEN B, MILETKOV M K, WINTOKI M B. Investor protection and the role of firm‐level financial transparency in attracting foreign investment[J]. Financial Review, 2015, 50(3): 393-434.
[43] 张大永, 刘倩, 姬强. 股票分析师的羊群行为对公司股价同步性的影响分析[J]. 中国管理科学, 2021, 29(5): 55-64.
[44] CHEN C C, HO K C, LI H M, et al. Impact of information disclosure ratings on investment efficiency: Evidence from China[J]. Review of Quantitative Finance and Accounting, 2023, 60(2): 471-500.
[45] BHAUMIK S, DRIFFIELD N, GAUR A, et al. Corporate governance and MNE strategies in emerging economies[J]. Journal of World Business, 2019, 54(4): 234-243.
[46] BADAWI A, AL QUDAH A, RASHIDEH W M. Determinants of foreign portfolio investment in emerging markets: evidence from Saudi stock market[J]. Journal of Economics and Finance, 2019, 43(4): 779-794.
[47] LIU K. The Chinese Government Bond Markets: Foreign Investments and Market Efficiency[J]. Global Journal of Emerging Market Economies, 2022, 14(1): 93-104.
[48] 方艳, 贺学会, 刘凌, 等. “沪港通”实现了我国资本市场国际化的初衷吗?——基于多重结构断点和t-Copula-aDCC-GARCH模型的实证分析[J]. 国际金融研究, 2016(11): 76-86.
[49] WEI Q, LUO J H, HUANG X. Influence of social identity on family firms’ FDI decisions: The moderating role of internal capital markets[J]. Management International Review, 2020, 60: 651-693.
[50] GUPTA S, SHRIVASTAVA M. Herding and loss aversion in stock markets: mediating role of fear of missing out (FOMO) in retail investors[J]. International Journal of Emerging Markets, 2022, 17(7): 1720-1737.
[51] WANG L, XIONG X. The impact of herding behaviour of Chinese securities investment funds on firm value: the mediating effects of stock price informativeness and agency cost[J]. Applied Economics Letters, 2022, 29(14): 1248-1255.
[52] CHAKRABARTI R, HUANG W, JAYARAMAN N, et al. Price and volume effects of changes in MSCI indices–nature and causes[J]. Journal of Banking & Finance, 2005, 29(5): 1237-1264.
[53] ASMAE A, AHMED B. Impact of the exchange rate and price volatility on fdi inflows: Case of Morocco and Turkey[J]. Applied Economics and Finance, 2019, 6(3): 87-104.
[54] HASAN M M, TAYLOR G, Richardson G. Brand capital and stock price crash risk[J]. Management Science, 2022, 68(10): 7221-7247.
[55] GROSS T, KLEIN P, MAKRIS M. Dynamic capital tax competition under the source principle[J]. American Economic Journal: Macroeconomics, 2022 14(3): 365-410.
[56] MENSI W, AL-YAHYAEE K H, KANG S H. Structural breaks and double long memory of cryptocurrency prices: A comparative analysis from Bitcoin and Ethereum[J]. Finance Research Letters,2019, 29: 222-230.
[57] ASSAF A, BHANDARI A, CHARIF H, et al. Multivariate long memory structure in the cryptocurrency market: The impact of COVID-19[J]. International Review of Financial Analysis, 2022, 82: 102132.
[58] 张跃军, 张晗, 王金丽. 考虑结构变化和长记忆性的国际原油价格波动率预测研究[J].中国管理科学, 2021, 29(9): 54-64.
[59] GHAZANI M M, EBRAHIMI S B. Testing the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the crude oil prices[J]. Finance Research Letters, 2019, 30: 60-68.
[60] 陈淼鑫, 黄振伟. 股价波动的长记忆性与横截面股票收益——基于中国市场的实证研究[J]. 中国管理科学, 2023, 31(4): 1-10.
[61] MENSI W, HAMMOUDEH S, YOON S M. Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate[J]. Energy Economics, 2015, 48: 46-60.
[62] 洪永淼, 孙佳婧, McCabe Brendan, 等. 基于调整样本值域的自正则结构性变化的检验[J]. 统计研究, 2022, 39(4): 122-133.
[63] DING Z, GRANGER C W J, ENGLE R F. A long memory property of stock market returns and a new model[J]. Journal of Empirical Finance, 1993, 1(1): 83-106.
[64] BAILLIE R T, BOLLERSLEV T, MIKKELSEN H O. Fractionally integrated generalized autoregressive conditional heteroskedasticity[J]. Journal of Econometrics, 1996, 74(1): 3-30.
[65] CHUNG C F. Estimating the Fractionally Integrated GARCH Model. National Taiwan University[R]. Working Paper, 1999.
[66] 姜弘, 梁朝晖, 赵宏. 中国信用价差与经济周期关联性研究——基于马尔科夫区制转换模型[J]. 财经理论与实践, 2020, 41(1): 26-33.
[67] SEGNON M, GUPTA R, LESAME K, et al. High-frequency volatility forecasting of US housing markets[J]. The Journal of Real Estate Finance and Economics, 2021, 62: 283-317.
[68] 李红权, 张馨心. 引入测量误差和马尔科夫转换机制的高频波动率建模与预测[J]. 系统科学与数学, 2022, 42(5): 1200-1215.