Market impact analysis of China A-shares into MSCI index--comparison of volatility between MSCI China international index and CSI 300 index

摘要：

　　In June 21,2017,MSCI officially announced that from the beginning of June 2018,China A-shares will be included in the MSCI emerging markets index and MSCI ACWI(All Country World Index)global index.The significance of this paper lies in: through the comparison of the relevant indexs volatility,from the results of empirical research,we analyzed the domestic investors investment behavior,explained the significance of Chinas A-share index into MSCI index,and put forward the corresponding suggestions of the development of Chinese securities market.

关键词： MSCI China A-share international index CSI 300 index volatility GARCH model

作者: Lu Gao Lian Chen

作者单位: School of Economic & Management Nanjing University of Science &Technology

会议类型: 国际会议

会议名称: 2017年经济与企业管理国际学术会议(FEBM2017)

会议地点: 上海

会议语种:英文

页码: 952-960

在线出版日期: 2017-10-21（万方平台首次上网日期，不代表论文的发表时间）