| On June 21,2017,MSCI announced that it will formally incorporate A-shares into the MSCI Emerging Markets Index and the MSCI ACWI Global Index from June 2018.This is a milestone for A-shares to enter internationalization.This article selects sample data of stocks of leading companies in 98 subdivided industries from January 2017(the first 5 months of the event)to November 2017(the 5 months after the event)to analyze the influence of the event’s announcement on anomaly revenue of China’s industry leading stocks deeply.The main methods in this paper are theoretical analysis and empirical analysis.With the help of FF three-factor model,this paper carries out single-factor and three-factor return on sample stock portfolios(market premium,market value difference,book value).The discussion is divided into window period and industry.Then based on the event study method,we estimate the timeliness of A shares into MSCI effect.Through the study of this paper,the following conclusions are drawn:First of all,in the window period of [-5,-4] months,the abnormal returns of the sample stocks are not significant;in the [-1,1] window period,the abnormal returns of the sample stocks are significant and in the month after the announcement,the excess return significantly increases;in the [2,5] window period,the abnormal returns of sample stocks tend to disappear.The excess return takes on a short-term effect and it stimulates the leading company’s stock price in the short-term,meanwhile it increases the income.And in this regard,the market is effective,but it does not have long-term impact and cannot change the original trend of the stock market.Secondly,before and after the announcement of A shares into MSCI index,in different industries,there are differences in market premium factors,market value factors,and book-to-market ratio factors.Inclusion events have a greater impact on financial and consumer stock prices.Finally,with regard to the timeliness of the inclusion effect,the significant A shares incorporate MSCI effect lasted for 8 days and did not exist in a highly standard form.Based on the research conclusions,this paper puts forward some suggestions for improvement at the levels of government supervision,company and investors,with a view to providing certain reference value. |
