| As China’s capital market continues to deepen its opening up to the outside world,the internationalization level of the capital market is steadily increasing,and its global influence is growing.Starting from June 2018,MSCI(Morgan Stanley Capital International)gradually incorporated China’s A-shares into both the MSCI Global Index and the MSCI Emerging Markets Index,attracting a growing number of international financial institutions and investors to focus on and participate in the Chinese capital market.To ensure that the MSCI indexes can timely reflect the real dynamics of the securities market,MSCI regularly adjusts the MSCI index component stock list.However,this move will transmit unique information about the selected or removed companies to the market,which will not only cause fluctuations in the stock prices and trading volumes of the adjusted companies but also impact their micro-behavior.Existing scholars both domestically and internationally have primarily studied the market effects of listed companies being included in the MSCI index,but have paid scant attention to the potential impact on stock price volatility when a company is removed from the MSCI index.Compared to developed capital markets in Europe and America,the A-share market in China exhibits greater volatility and frequent occurrences of inflation and recession.Against the backdrop of China’s ongoing efforts to open up its capital markets and its strong emphasis on financial market stability,the question of whether the removal of a listed company from the MSCI Emerging Markets Index will increase or decrease the risk of a stock market crash is an issue of utmost concern for stakeholders such as securities market regulators,listed companies,and investors.In light of this,this thesis studies the impact and mechanisms of a company being removed from the MSCI Emerging Markets Index on the risk of a stock market crash,enriches the research on the impact of stock index constituent adjustments on stock market crash risk,and has important reference value for the Chinese government’s efforts to prevent capital market risks and optimize capital market regulation.The present thesis first collects and organizes literature on research areas such as stock index constituent adjustments,MSCI indices,and stock price crash risk,and applies foundational theories such as the efficient market hypothesis,noise trader theory,and information asymmetry theory,the relationship between a company being removed from the MSCI Emerging Markets Index and stock price crash risk is analyzed,and a pair of opposing hypotheses is proposed.Secondly,treating the removal of A-share listed companies from the MSCI Emerging Markets Index as a quasi-natural experiment,the thesis uses the Multi-period PSM-DID(propensity score matching-double difference)model to empirically test the impact of the MSCI index removal event on firm’s stock price crash risk during the period from the first quarter of 2019 to the first quarter of 2022.The thesis found that:(1)being removed from the MSCI Emerging Markets Index significantly reduces a company’s future stock price crash risk;(2)the intermediate mechanism test shows that investor sentiment plays a significant partial mediating effect between the two,that is,with a company being removed from the MSCI Emerging Markets Index leading to a decline in investor sentiment,thereby reducing the risk of stock price crash;(3)heterogeneity analysis shows that being removed from the MSCI Emerging Markets Index constituent stocks can significantly reduce the stock price crash risk of state-owned enterprises and companies with high information disclosure quality.Through robustness analysis such as replacing the explained variables,changing policy time,and conducting placebo tests,as well as endogeneity analysis,the conclusion of this study still holds.Finally,based on the research findings,this thesis proposes relevant recommendations for listed companies decision-making,investor stock trading,and regulatory policy making. |
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