金融学院知识库

改革开放四十多年来的发展经验表明，“不断扩大对外开放、提高对外开放水平，以开放促改革、促发展，是我国发展不断取得新成就的重要法宝”。2018年6月，中国A股纳入MSCI指数标志着我国资本市场迈向了国际化的新阶段，资本市场的进一步开放，是我国推进金融改革服务实体经济的重要力量。然而，近年来我国实体经济中企业内部治理风险引发的暴雷事件频频发生，反映出我国公司内部治理还存在较大缺陷，特别是委托—代理问题尤为严重，而代理问题是困扰公司成长和发展的关键所在，如何降低代理成本、提升代理效率一直受到学术界的广泛关注。当前，由于我国需要更高层次的开放格局来推动现阶段的高质量发展，且金融服务实体经济是今年两会期间的热议话题。因此，探究资本市场开放对企业代理成本的影响具有重要的现实意义。

本文以A股纳入MSCI指数作为资本市场开放的代理事件，梳理了有关资本市场开放、企业代理成本以及A股纳入MSCI指数的研究现状，然后在总结委托代理、信息不对称、信号传递理论的基础上，提出了A股纳入MSCI指数对企业代理成本影响的研究假设。由于A股纳入MSCI指数为本文研究提供了良好的准自然环境，因此本文利用2013-2022年Ａ股上市公司为研究样本，构建多时点双重差分（DID）模型，运用理论与实证相结合的方法来探究资本市场开放对企业代理成本的影响，并且分析两者间的影响机制以及不同情境下的效果差异。

本文的研究表明：（1）A股纳入MSCI指数将显著降低企业代理成本；（2）A股纳入MSCI指数将通过增强分析师关注度与提高机构投资者持股比例来降低企业代理成本；（3）A股纳入MSCI指数显著降低了国有企业的第一类代理成本和非国有企业的第二类代理成本；并且在股票流动性更高的企业中作用更明显。因此本文提出以下政策建议：（1）增强资本市场对外开放力度，扩大对外开放格局；（2）放宽政策限制条件，降低资本市场准入门槛；（3）疏通中介渠道，发挥信息中介作用；（4）企业应夯实公司治理结构，不断提升治理能力。

Development experience over the past 40 years of reform and opening up has shown that "continuously expanding opening up to the outside world, raising the level of opening up to the outside world, and promoting reform and development through opening up are the important assets of our country's development that have led to continuous new achievements". In June 2018, the inclusion of China's A-shares in the MSCI index marked a new stage in the internationalization of China's capital market, and the further opening up of the capital market is an important force in China's efforts to promote financial reform to serve the real economy. However, in recent years, China's real economy in the internal governance risk of enterprises caused by the frequent occurrence of thunderbolt events, reflecting China's internal corporate governance there are still large defects, particularly the principal-agent problem is especially serious, and the agency problem is plagued with the key to the company's growth and development, and how to reduce the agency cost, enhance the efficiency of the agency has been the extensive attention of the academic community. At present, as China needs a higher level of opening pattern to promote the current stage of high-quality development, and financial services of the real economy is a hot topic during the two sessions of this year. Therefore, it is of great practical significance to explore the impact of capital market liberalization on corporate agency costs.

This paper uses A-share integration into the MSCI index as a proxy event for capital market liberalization, and combs through the current research status about capital market opening, enterprise agency cost and the inclusion of A-shares into MSCI index, and then, on the basis of summarizing the principal-agent theory, information asymmetry theory, and signaling theory, Proposed research hypotheses on the impact of A-share inclusion in the MSCI index on firms' agency costs. Since the inclusion of A-shares in the MSCI Emerging Markets Index provides a good quasi-natural environment for this paper's research, this paper utilizes A-share listed companies from 2013-2022 as the research sample, constructs a multi-temporal double-difference-in-differences (DID) model, and combines theoretical and empirical evidence to investigate the impact of capital market opening events on corporate agency costs, and to analyze the mechanism of the impact between the two as well as the differences in the effects in different contexts.

The research in this paper shows that (1) the inclusion of A-shares in the MSCI index will significantly reduce the agency costs of firms; (2) the inclusion of A-shares in the MSCI index will reduce the agency costs of firms by enhancing the analyst focus and increasing the proportion of institutional investor holdings; (3) the inclusion of A-shares in the MSCI index significantly reduces the first type of agency costs of state-owned firms and the second type of agency costs of non-state-owned firms and has a more pronounced effect in the case of firms with higher stock higher liquidity firms.Therefore, this paper puts forward the following policy recommendations: (1) strengthen the opening up of the capital market to the outside world and expand the pattern of opening up to the outside world; (2) relax the policy restrictions and lower the threshold of access to the capital market; (3) dredge the intermediary channels and play the role of information intermediary; (4) enterprises should consolidate the corporate governance structure and improve the governance capacity continuously.