Did the Inclusion of China’s A-Shares in the MSCI Index Improve the Information Content of Listed Firms? Analysis Based on Stock Price Synchronisation and Environmental Social Governance

Table 5

Results of DID regression analysis.

Variables	(1)	(2)	(3)
	Syn	Syn	Syn
mkex	–0.1638	–0.1238	–0.0935
	(–3.66)	(–2.75)	(–2.14)
After	–0.1631	–0.1618	–0.3928
	(–8.99)	(–8.85)	(–12.00)
	–0.4378	–0.4337	–0.3828
	(–6.35)	(–6.31)	(–6.62)
Size	0.1377	0.1345	0.1147
	(15.05)	(14.28)	(12.47)
Lev	–0.1441	–0.1531	–0.1163
	(–6.39)	(–6.70)	(–5.80)
BM	0.0555	0.0538	0.0498
	(8.86)	(8.38)	(8.62)
SOE	0.2260	0.2180	0.2159
	(10.85)	(9.98)	(9.94)
Cashflow	0.2091	0.2710	–0.0515
	(2.11)	(2.68)	(–0.58)
Top1	–0.2571	–0.2635	–0.1486
	(–4.22)	(–4.20)	(–2.45)
ListAge	0.0164	0.0286	0.0254
	(1.18)	(1.94)	(1.80)
Big4	–0.0652	–0.0736	–0.0692
	(–1.64)	(–1.84)	(–1.77)
ROA	–0.3983	–0.4138	–0.3202
	(–4.21)	(–4.34)	(–3.84)
Constant	–3.9495	–4.1819	–3.3955
	(–20.88)	(–18.61)	(–15.44)
Industry	No	Yes	Yes
Year	No	No	Yes
Observations	21,364	21,364	21,364
Number of codes	3,412	3,412	3,412

: statistics are in parentheses. , , and .