| The internationalization of capital markets across the world is continually deepening,and this process promotes the reallocating function of internal capital movement.Since June 2018,the A-share of Chinese stock market has been included into the emerging market indices of MSCI,FTSE Russell and S&P DJI in succession,indicating the internationalization of A-share has been further expanded and these events provide huge opportunities.The addition of A-share into international indices means its investing value has been officially recognized by foreign capital,and this will help to deepen the opening level of Chinese capital market.In a long term,the trillions of dollars of foreign capital along with its mature investment philosophy brought by the addition can push Chinese market to grow healthily.However,in the meanwhile,the entrance of foreign capital also brings many challenges.The foreign capital is mainly constructed of institutional investors,and as competitors of Chinese funds these investors have more mature investment philosophy and style.Previous studies have shown that Chinses funds have some level of herd effect and investment style drift is also quite common,which makes gaps between them and foreign investors.If Chinese funds don't improve their investment philosophy and style along with the development of Chinese stock market,they would put national financial security in danger because of the advantages of foreign capital and being unable to reap the dividends of the market opening process.Therefore,at this critical point,it is very important to study the fact that if Chinese fund have made some progress on investment style confronting the impact of the events and capital brought by the inclusion of A-share into the three major international indices.This paper summarizes the process of China's inclusion into the three major international indices,learns from the experience of other emerging stock markets and then takes the inclusion of A-share into the international indices as an important time node to explore the impact of the initial inclusion of A-share on Chinese funds' investment style through empirical research.Based on the SDS(Style Drift Score)indicator model,a new SDR(Style Drift Ratio)indicator is established in this paper.Utilizing the SDR series and selected factors,this paper constructs panel data to study the impact on the degree of Chinese funds' style drift of the process of A-share internationalization and inclusion into international indices.Furthermore,the paper uses Sharpe's fund style analysis model to estimate the actual changes of Chinese funds on their asset and industry allocation after A-share included into international indices.Through the research,this paper finds that Chinese funds' style of asset and industry allocation is influenced by foreign capital and become similar with its style,in the meantime,however,to a greater extent they consider A-share's inclusion as a period hot spot and a greater degree of style drift has occurred.This fact implies that the investment philosophy and style of Chinese funds has not improved significantly.From the perspective of every subject,the fund industry,funds,fund shareholders etc.,measures should be exploited to impel Chinese funds to promote their investment philosophy and style to increase their competitiveness. |
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