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The Impact of China’s Capital Market Opening Up to the Domestic Stock Idiosyncratic Risk

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  • Chenpeng Du

Abstract

In this paper we studied impact of an exogenous event that represents China’s capital market opening up policy: the “A-share inclusion in the MSCI index†for China’s domestic Stock assets. By constructing the Diff in Diff (DID) model, it is found that event have significantly reduce the idiosyncratic risk of the stocks that have been included into the index, which proved that the overall advantages of the capital market opening up policy outweigh the disadvantages. Â

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  • Chenpeng Du, 2022. "The Impact of China’s Capital Market Opening Up to the Domestic Stock Idiosyncratic Risk," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 12(2), pages 1-5.
    • Handle: RePEc:spt:apfiba:v:12:y:2022:i:2:f:12_2_5
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