Stock Index Adjustments and Corporate Investment Efficiency
The stock price index,as one of the most important fundamental indicators in the capital market,has attracted market at-tention for its component stock adjustments.Early research mainly focused on the short-term impact of stock index component stock adjustments.Recently,scholars have begun to pay attention to how stock index component stock adjustments affect long-term corpo-rate behavior such as tax avoidance and cash holdings.However,an important but rarely studied question is whether the adjustment of constituent stocks in the stock index will affect the efficiency of resource allocation in the real economy.In fact,the impact of capital markets on the real economy has been a classic topic of debate in finance for a long time.As one of the most important fundamental indicators in the capital market,the adjustment of the stock price index should have an impact on the real economy.This paper attempts to search for evidence of this possible impact from the perspective of corporate investment,which is an important micro manifestation of real economic activity.Based on firms'investment-price sensitivity framework,this paper takes the constituent stocks of the Shanghai and Shenzhen 300 Index from 2006 to 2019 as the research object.According to the"Shanghai and Shenzhen 300 Index Compilation Plan",the 301-600 stocks are regularly simulated and compiled as the reference group.This paper uses the DID model to examine the relationship between stock index constituent stock adjustments and company investment.We find that stocks newly added to the stock index experience a significant decrease in their investment-price sensitivity.Mecha-nism analysis shows that the decrease in stock price information content hinders managers from learning.In groups where investor sentiment is more extreme,insider trading is less common,and insider trading returns are lower,the dampening effect of stocks newly included in the stock index on firms'investment-price sensitivity is more pronounced.After stocks are added to the index,the information content of individual stocks decreases,which can also reduce the investment efficiency of the company.Expanding the opening of the capital market and accelerating the marketization process can effectively alleviate the negative impact of stock index component stock adjustments on corporate investment.Compared to previous literature,the theoretical contribution of this paper is as follows:Firstly,this paper enriches and expands the literature on the economic consequences of stock index component stock adjustments.Although extensive research has been con-ducted on the short-term impact of stock index component stock adjustments on stock prices and trading volume,further attention has not been paid to the long-term impact of stock price fluctuations on the allocation of resources in the real economy in the capital market.This paper defines the research object as the sensitivity of company investment to stock prices and finds that the stock index adjustment significantly reduces the guiding effect of stock prices on company investment.Meanwhile,this paper analyses the impact mechanism from the perspective of manager learning,providing empirical evidence for the classic question of"whether the stock market can have or not have an impact on the real economy?".Secondly,relevant research on the economic consequences of institu-tional investor heterogeneity has been expanded.Unlike the general view of existing literature that institutional investors can leverage their resources,professional knowledge,and information advantages to promote price discovery,improve capital market pricing ef-ficiency,and thus benefit the real economy,this paper distinguishes passive institutional investors from ordinary institutional inves-tors,and for the first time reveals that stock index investment,a widely adopted investment model by institutions,may have negative effects on companies.The main manifestation is that passive investors lack the motivation to mine private information,and individual stocks are bound to the market through indices,which increases the possibility of stocks rising and falling together,especially when facing systemic risks or market fluctuations.The research in this paper indicates that it is necessary to distinguish passive institution-al investors,which supplements the comprehensive understanding of institutional investors.In practical terms,this article finds that on the one hand,the opening of Hong Kong-Shanghai Stock Connect can promote the inte-gration of private information of"savvy investors"into stock prices,thereby increasing the information content of stock prices;On the other hand,market-oriented construction helps to improve the transparency of the information environment,thereby reducing the dependence of managers on stock prices,and ultimately alleviating the inhibitory effect of stock index adjustments on firms'invest-ment-price sensitivity.Therefore,relevant departments should continue to promote the process of capital market opening and mar-ketization construction to enhance the guiding role of the capital market in the allocation of resources in the real economy.
Stock Index AdjustmentManagerial LearningStock Price InformativenessInvestment-price Sensitivity
万方数据
维普
