| In recent years,China has launched a series of market opening policies,such as the Qualified Foreign Institutional Investor(QFII),the Qualified Foreign Institutional Investor(RQFII),the Shanghai-Hong Kong Stock Connect Program and the ShenzhenHong Kong Stock Connect Program.The pace of opening up China’s capital market is gradually accelerating.In June 2017,Morgan Stanley Capital International(MSCI),the International Capital Markets Index Company,announced that China’s A-Share will be included in its Alum Index,which has enabled international investors to increase their focus on China’s capital market and allocate more capital to invest China’s capital market.At present,foreigner’s stock and bond holding in China’s market have reached its record.The internationalization of China’s capital market has increased.In the context of the emerging capital markets internationalization,Chinese scholars have fully studied the role of market open systems such as QFII and Shanghai-Shenzhen-Hong Kong Stock Connect Program in China’s capital market.The results show that the internationalization of capital markets can enhance the linkage and risk spillover between the developed capital markets and emerging capital markets.However,the increase in market linkage is only part role of the internationalization of the capital market.The more important role of market internationalization is to improve the information efficiency and resource allocation efficiency of emerging markets.In existing research,scholars often use stock price information indicators to represent the information efficiency of a country’s market.The stock price information can not only measure the information efficiency level of a country’s market,but its improvement can also improve the efficiency of market resource allocation.Since the A-share were included in the MSCI index shortly after the incident,scholars have not conducted sufficient research on this incident.To this end,this paper uses A-share to be included in the MSCI index as a natural experiment.Based on the information content of stocks,this paper studies the impact of market internationalization on the stock price information of A-share market,which can provide empirical evidence of the Chinese market under the influence of new events and complement existing research.This paper first reviews the literature on capital market opening and stock price informativeness at home and abroad.Based on the above literature,three hypotheses are proposed:(1)A-share being included in the MSCI International Index can increase the stock price informativeness of the A-share market;(2)The increase in the stock price informativeness of the A-share market is mainly achieved through the information gathering behavior of international investors;(3)The inclusion of A-share in the MSCI International Index can affect the stock price informativeness of the entire range of stocks,not just the part of the stock.Through the open channels of the capital market and the open financial database,this paper obtained the financial indicators and stock transaction data of 226 companies that were included in the MSCI index and 1103 Shanghai and Shenzhen-Hong Kong Stock Connect companies from 2015 to 2019,and then used the PSM propensity score matching method and the DID double difference model to study the influence direction and influence range of regional market stocks into the international stock index on the stock market information content of the regional market,and verify the research hypothesis proposed above and draw conclusions.Through theoretical discussion and empirical analysis,the paper draws the following conclusions from three aspects:(1)A-share being included in the MSCI International Index can increase the stock price informativeness of the A-share market.(2)Information opaque enterprises have more stock price informativeness than information transparency enterprises,indicating that the increase in stock price informativeness in the A-share market is mainly achieved through the information gathering behavior of international investors.(3)The inclusion of regional market stocks in the international market not only affects some of the stocks included in the index,but also affects the entire ShanghaiShenzhen-Hong Kong Stock Connect market.Compared with the existing related research,the possible innovations of this paper are reflected in the following three aspects:(1)The sample of this paper is a sample of natural experiments in the new period,and the proportion of foreign investment in the China’s market has changed significantly.This paper examines the impact of this change on the efficiency of capital market information and can provide empirical evidence of the China’s market under the influence of new events.(2)Based on the perspective of stock price informativeness content,empirical study on the impact of regional market stocks being included in international indices on capital market information efficiency.(3)Based on the scope of the Shanghai-Shenzhen-Hong Kong Stock Connect,this paper expands the scope of the sample and adds empirical research on the Shanghai sample.Compared with the sample results of the Shanghai-Shenzhen-Hong Kong Stock Connect,it has enriched the latitude of the study to a certain extent.Due to the academic literacy of the author,there are still some shortcomings in this study.In this regard,the last part of the article puts forward the limitations of this study and the prospects for future research.There are two main aspects:(1)The model for measuring the stock price informativeness of stock prices may be affected by some market noise.(2)The research on the impact mechanism of A-share being included in the MSCI index on the A-share market can continue. |
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