Capital market internationalization is widely regarded as an important pathway to improving resource allocation efficiency and enhancing governance quality, while simultaneously imposing higher requirements on corporate sustainability and social responsibility. However, its impact on firms’ internal income distribution remains subject to academic debate. This study treats the inclusion of China’s A-shares in the MSCI Emerging Markets Index as a landmark exogenous shock of capital market internationalization. Based on a sample of Chinese A-share listed firms from 2014 to 2022, we manually compile firm-level MSCI inclusion data and construct a multi-period difference-in-differences model for empirical testing. The results indicate that firms’ inclusion in the MSCI Index significantly increases their labor income share. The mechanism analysis reveals that this promoting effect operates mainly through three channels: alleviating financing constraints, fostering innovative development, and strengthening investor governance. Further heterogeneity analysis shows that the effect is more pronounced among technology-intensive firms, firms under greater competitive pressure, and firms with higher degrees of internationalization. By incorporating income distribution outcomes into the framework of capital market internationalization, this paper enriches the evidence on the economic and social effects of internationalization and provides policy implications for emerging economies to advance high-level capital market opening and optimize income distribution.

Against the backdrop of potential irrational trading behaviours in financial markets, this study investigates the V-shaped disposition effect in the selling activities of portfolios managed by securities investment funds in China. Utilising quarterly holdings data (2018–2024) of Chinese securities investment funds, alongside daily turnover rates and closing prices of their fund-heavy stocks listed in China's A-share market, a Fama-MacBeth regression analysis is conducted. The empirical results provide robust evidence of a significant V-shaped disposition effect in these fund investments, primarily driven by speculative trading. Moreover, this effect significantly and positively predicts future stock returns of Chinese A-shares. This study enhances understanding of institutional investors' trading behaviours—particularly mutual funds in China—and their decision-making processes in financial markets.

This study explores the role of sentiment in predicting future stock return volatility in the Chinese A-share market. Specifically, we conduct a composite sentiment index capturing both investor and manager sentiment. The former is measured by overnight returns, and the latter is measured by a textual tone based on the information in the Management Discussion and Analysis section of the annual reports. Empirically, we find that the composite index is positively associated with subsequent stock realized volatility and the result remains robust after controlling for a set of firm characteristics and state ownership. Besides, the result also shows that investor attention can help dissect the sentiment—volatility relation.

This paper analyzes the impact of changes in the securities transaction tax (STT) rate on the local A-shares market in China. We find that, on average, a 22-base-point- increase in the STT rate is associated with about a 28% drop in trading volume, while a 17-base-point- reduction in the STT rate is associated with about a 89% increase in trading volume in the Chinese A-shares market. Both the increases and reductions in the STT rate result in a significant increase in the market return volatility. Besides, the increases in the STT rate have mixed effects on market efficiency, either improving or curbing it. The reductions usually either make the market less efficient or have not effect on it. The empirical results together show that levying the STT on trading is not an effective tool to regulate stock market, at least in this emerging market.