Research On The Impact Of A-Share Inclusion In MSCI Index On Stock Pricing Efficiency

With the deepening of financial globalization,the financial industry has turned to the track of high-quality development,and the comprehensive deepening reform of the capital market has gradually accelerated.The inclusion of A-shares in the MSCI index is A major driving force for the internationalization of China’s capital market.In order to explore the impact of the inclusion of A-shares in the MSCI index,A landmark event of capital market opening to the outside world,on the stock pricing efficiency,this paper takes the Mainland Port Connect A-share stocks from 2015 to 2020 as A full sample,and from the perspective of stock price information content,uses the multi-point difference method to empirically analyze the inclusion of A-shares in the MSCI index and the stock pricing efficiency.The empirical results show that :(1)The inclusion of a-shares in the MSCI index is helpful to improve the efficiency of stock pricing.After the event,the information content of the underlying stocks included in the MSCI index is significantly increased compared with the non-underlying stocks not included in the MSCI index.(2)Further analysis shows that the corporate information environment and corporate governance level are the influence paths of a-share inclusion in MSCI index on stock pricing efficiency.There are competitive mediating effects in the transmission mechanism of corporate information environment,complementary mediating effects and competitive mediating effects in the transmission mechanism of corporate governance level.(3)Compared to state-owned enterprises and non-stateowned enterprises subsample respectively,high information transparency and low information transparency of samples,with a low PE ratio and high PE ratio enterprise subsample inspection result,found in MSCI index of state-owned enterprises,low information transparency and the influence of low PE ratio of stock pricing efficiency effect is more prominent,and the impact is bigger.Therefore,in the expansion of highlevel capital market opening to the outside world,it is necessary to focus on improving the information environment and governance mechanism of relevant listed companies,improve the overall resource allocation efficiency of the capital market,and contribute to high-quality economic development.