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预告:对话MSCI,A股 入摩一月表现与展望

2018年7月4日,综合MSCI 新兴市场指数纳入中国A股的的背景与入摩一个月的表现,辉立资本新加坡于7月4日(周三)与MSCI 的客户经理 Rajarshi Sen 进行了会面讨论。

会议中,Raj 就8月的第二步纳入计划,纳入因子的扩展,被动与主动基金的大体数目等议题进行了详细得介绍。





2017年6月20日,MSCI(摩根士丹利资本国际公司)宣布将222支中国A股以5%的纳入因子(index inclusion factor)纳入MSCI 新兴市场指数(MSCI Emerging Market Index),计划称将分两步实施以缓冲沪港通和深港通的每日限额限制。


2018年5月14日,MSCI发布2018年5月指数回顾结果,宣布在6月1日正式实施第一步纳入计划,将234支股票以2.5%的纳入因子纳入MSCI 新兴市场指数,占总指数的0.39%。第二步纳入计划将在八月的指数回顾中宣布。







Figure 1沪股通日净流量 – 数据来源:港交所



在2017年6月MSCI发布的2017年度市场分类评审结果中,MSCI表示若沪股通和深股通的每日额度被取消或者大幅提升,MSCI 不排除将A股的纳入修改为一次性实施的计划,即一次性以5%的纳入因子纳入A股。


Figure 2 沪股通日额度余额 – 来源:Bloomberg



2018年6月,MSCI 新兴市场指数月跌8.7%,对比近三年年的数据,该次跌幅仅次于2015年9月超过15%的跌幅。6月,中国上证指数6月月跌超9%。

细分来看,如图3所示,图中黄线,紫线,蓝线,白线分别代表 MSCI 新兴市场指数(排除中国市场),MSCI新兴市场指数,MSCI 中国指数,MSCI中国科技指数六月以来的表现。由图3可以看出,自6月19日以来,中国股市对MSCI新兴市场指数的表现有所拖累。

Figure 3 MSCI 各指数表现 – 来源:Bloomberg



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