The Impact Of Capital Market Opening On Stock Price Heterogeneity Fluctuations

In recent years,the opening up of China’s capital market has been steadily advancing,and the participation of foreign investors has brought new opportunities and challenges to the development of China’s capital market.The opening of capital markets helps to accelerate capital flows,and the integration of global capital markets helps the economic development of all countries.In June 2018,A-shares were officially included in the MSCI index,which means that the opening up of China’s capital market has entered a new stage.However,due to the short development history of A-shares and the fact that they are currently in the stage of transformation of a new capital market,the entry of overseas capital has also brought many uncertainties to A-shares.Based on the quasi-natural experiment of A-shares being included in the MSCI index,this paper explores the impact of capital market opening on the heterogeneous fluctuation level of stock prices in China,and provides theoretical and data support for China’s continuous promotion of capital market opening and the construction of a multi-level capital market.Through the existing research,it is found that since the 90s of the 20th century,many new capital markets have increased their opening up,and international capital has flowed freely on a larger scale.The consequences of capital market opening mostly focus on stock price fluctuations,stock income fluctuations,stock price information content,stock price synchronization,etc.,and there is no broad consensus on the impact of capital market opening on stock price fluctuations.The inclusion of A-shares in the MSCI index also needs to be further enriched in the study of heterogeneous fluctuations in stock prices.Based on the efficient market hypothesis,market segmentation hypothesis and information asymmetry theory,this paper carries out theoretical analysis,and puts forward two opposing hypotheses,namely,the inclusion of A-shares in the MSCI index event can reduce the volatility of stock price heterogeneity,and the inclusion of A-shares in the MSCI index increases the heterogeneous fluctuation of stock price.In the empirical analysis part,a double difference model was established,and the Fama-French three-factor pricing model was used to measure the fluctuation level of stock price heterogeneity in the study sample,and the main effect regression analysis was carried out by using Stata16.0 statistical analysis software.The explanatory variable is defined as the level of fluctuation of stock price heterogeneity,and the explanatory variable is a double differential variable.Stocks that have been in the MSCI target range since June 2018 were selected as the treatment group,and stocks in Shanghai Stock Connect and Shenzhen Stock Connect that had never been included in the subject range of the MSCI index were selected as the control group,and a total of 2544 sample annual data were obtained after data processing.Through main effect regression analysis,it is found that the inclusion of A-shares in the MSCI index can effectively reduce the heterogeneous fluctuation of A-share stock prices.Moreover,after a series of robustness tests based on interest,construction of pseudo-treatment groups,propensity score matching method,replacement of stock price heterogeneity fluctuation measures,and change of the time range of research samples,it is proved that the inclusion of A-shares in the MSCI index can reduce the heterogeneity fluctuation of stock prices.This volatility-reducing effect is achieved by improving access to the information environment.Through heterogeneity analysis,it is found that the effect of A-shares included in the MSCI index to reduce the volatility of stock price heterogeneity includes heterogeneity in circulation market value,regional heterogeneity and industry heterogeneity.Finally,through theoretical analysis and empirical testing,policy suggestions for further building the capital market are put forward according to the characteristics of China’s capital market.We should steadily advance the process of opening up China’s capital market;Continue to standardize the capital market system and improve the construction of relevant laws and regulations;Strengthen investor education to provide guarantees for the benign development of the capital market.