Benchmark effects from the inclusion of Chinese A-shares in the MSCI EM index

C-Tier
Journal: Economics Letters
Year: 2022
Volume: 216
Issue: C

Authors (4)

Antonelli, Stefano (not in RePEc) Corneli, Flavia (not in RePEc) Ferriani, Fabrizio (Banca d'Italia) Gazzani, Andrea (Banca d'Italia)

Score contribution per author:

0.251 = (α=2.01 / 4 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We study the implications of benchmark indexing for emerging economies by focusing on the inclusion of Chinese A-shares in the MSCI EM index. Making use of a rich dataset on fund allocations and flows between 2015 and 2020, we document an escalating weight of Chinese exposure in mutual funds and an increasing concentration of fund portfolios. We rely on a Bayesian VAR model to show that the inclusion of A-shares in the MSCI EM index has fostered capital flows into China and has, at the same time, reduced the flows to the other emerging economies listed in the same index.

Technical Details

RePEc Handle
repec:eee:ecolet:v:216:y:2022:i:c:s016517652200180x
Journal Field
General
Author Count
4
Added to Database
2026-01-25