Research On The Impact Of China's Capital Market Opening On Stock Information Content

The senior officials of the state have made important statements on the construction of a modern economic system and made it clear that the two-way and high-level continuous expansion of opening up.Regulators and policy makers in China's capital market have also carried out a series of reforms,the purpose of which is to promote development by opening up.The inclusion of the A-share market in the MSCI index is one of the most influential events in the opening up of China's capital market.After four years of hard work,in June 2017 MSCI officially announced the inclusion of A shares in the MSCI index.However,compared with developed markets,China's A-share market is not perfect.Compared with developed countries in terms of stock price synchronization,China's stock price synchronization is more serious.Too high synchronization of stock prices will affect the information content of stock prices,which is not conducive to investors to make investment decisions accordingly,and it is not conducive to the price mechanism to regulate the market.Whether A shares can bring positive economic effects to China after MSCI index needs further discussion.This article analyzes the impact of the exogenous event of the inclusion of A shares in the MSCI index on China's capital market from the perspective of stock price synchronization.Using the data of listed companies from 2014 to 2018,explore how this quasi-natural experiment affects the information content of stock prices.The inclusion of A shares in the implementation of the MSCI index naturally divides all the stocks of "Shanghai-Hong Kong Stock Connect" and "Shenzhen-Hong Kong Stock Connect" into target stocks and non-standard stocks,that is,the treatment group and the control group,so it can be regarded as a quasi-natural experiment.This paper explores whether the MSCI target stock has a higher stock price information content based on the double difference model,and uses the tendency score matching method for further verification,and also explores its mechanism of action.Empirical findings show that the inclusion of A-shares in the MSCI index can increase the information content of the MSCI underlying stocks and reduce the synchronization of the underlying stock prices.At the same time,the quality of the information disclosure after the inclusion of the MSCI index was examined.It was found that the accounting stability of the underlying stock was improved,and the quality of the information disclosure was enhanced.Two sets of samples of strong corporate governance level and weak corporate governance level.After the empirical analysis,it was found that the information content of the lower group corporate governance level of A-shares was higher after the A-shares were included in the MSCI index.The channels worked.Based on the perspective of the inclusion of A shares in MSCI,this paper conducts an empirical test on how China's capital market opening affects the stock price information content,and analyzes its mechanism.The empirical analysis of China 's A shares being included in the MSCI index expands the study of the economic consequences of opening the capital market to the outside world,provides a certain theoretical basis for China 's capital market management and construction,and provides a reference for Mingsheng 's next decision In the end,it also provided some ideas for other emerging market countries.