Benchmark Effects from the Inclusion of Chinese A-shares in the MSCI EM index

Stefano Antonelli (), Flavia Corneli, Fabrizio Ferriani and Andrea Giovanni Gazzani
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Stefano Antonelli: Bank of Italy

No 657, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: We study the implications of benchmark indexing for emerging economies by focusing on the inclusion of Chinese A-shares in the MSCI EM index. Making use of a rich dataset on fund allocations and flows between 2015 and 2020, we document an escalating weight of Chinese exposure in mutual funds and an increasing concentration of fund portfolios. We rely on a Bayesian VAR model to show that the inclusion of A-shares in the MSCI EM index has fostered capital flows into China and has, at the same time, reduced the flows to the other emerging economies listed in the same index.

Keywords: benchmark indices; international portfolio flows; China (search for similar items in EconPapers)
JEL-codes: F21 F36 G11 G15 (search for similar items in EconPapers)
Date: 2021-12
New Economics Papers: this item is included in nep-tra
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Citations: View citations in EconPapers (1)

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Journal Article: Benchmark effects from the inclusion of Chinese A-shares in the MSCI EM index (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:opques:qef_657_21

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