 Spillover effects of MSCI inclusion announcement: Evidence and implications from ChinaZhihua Wei, Deqian Wu, Aimin Zeng and Bo Li Pacific-Basin Finance Journal, 2024, vol. 88, issue C Abstract: We investigate the price reactions of stocks that would not be included in the MSCI global indices to the MSCI inclusion announcement. We document a positive revaluation effect for connected stocks, but not for unconnected stocks. Based on the institutional background and existing theories, we propose three non-competing hypotheses: the signaling hypothesis, the speculative trading hypothesis, and the market integration hypothesis. With a series of tests, we demonstrate that the market integration hypothesis can explain this phenomenon. Specifically, the price revaluations of connected stocks are proportional to firm-specific conditional market risk, and this relationship is stronger in firms with high transparency and liquidity and is dampened by the existence of B- or H-shares. Our paper provides new evidence and insights into the impact of global index inclusion on asset prices and the degree of market integration. Keywords: MSCI inclusion; Spillover effect; Index effect; Market segmentation (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:88:y:2024:i:c:s0927538x24003342 DOI: 10.1016/j.pacfin.2024.102582 Access Statistics for this article Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee More articles in Pacific-Basin Finance Journal from Elsevier |
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