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Brennan, M. J., Chordia, T., & Subrahmanyam, A. (1998). Alternative Factor Specifications, Security Characteristcs and the Cross-Section of Expected Stock Returns. Journal of Financial Economics, 49, 345-373.

has been cited by the following article:

• TITLE: Does Trading Activity of China’s A-Share Improve after the Inclusion of China’s A-Share in the MSCI Index?

  AUTHORS: Hongbin Deng

  KEYWORDS: Turnover Rate, MSCI Index, Stock Market, Level of Trading Activity

  JOURNAL NAME: Journal of Service Science and Management, Vol.14 No.1, February 8, 2021

  ABSTRACT: This paper mainly studies whether the inclusion of China’s A-shares in the MSCI (Morgan Stanley Capital International) index improved the trading activity. Taking all China’s A-share stocks as samples and using the trading data of four years from 2016 to 2019, this paper designs corresponding Difference-in-Difference models and conducts empirical research. It is found that the inclusion of MSCI index does reduce the turnover rate of stocks and the level of activity in stock trading decrease. Two reasons account for this: on the one hand, institutional investors with more long-term capital and more robust investment styles have entered into A-share market; on the other hand, investors have become relatively more consistent in the value of the MSCI component stocks because of the highly recognition of global capital markets.