《大行报告》中金：料腾讯、阿里及美团等因摊薄效应在MSCI半年检中权重下降最大
就MSCI公布其所有指数的2021年5月的半年度指数审议结果，其中包括MSCI中国指数。此次为半年度审计，涉及的个股调整较多，相应影响也较为广泛，中金发表报告表示，MSCI中国指数半年度调整新增60只股份(海外中资股纳入21只、A股纳入39只)，同时，此次调整剔除了21只成分股。
该行指，调整後的成份股从当前的709只上升为748只(其中A股490只，权重12.6%；B股2只，权重0.1%；港股210只，权重57.1%； 中概股46只，权重30.2%)。 除了成分股调整外，MSCI还调整90家公司的自由流通因子(FIF， Foreign Inclusion Factor，如权重变化较大的贝壳(BEKE.US)、理想汽车(LI.US)、中国飞鹤(06186.HK)等均与此有关)、以及171家公司的纳入股本数，也将因此会对成分股在指数内权重产生变化。
从绝对权重变化幅度来看，中金测算，受此次调整影响，贝壳、中国飞鹤、理想汽车、保利协鑫(03800.HK)、腾讯音乐(TME.US)、小鹏汽车(XPEV.US)、拼多多(PDD.US)、思摩尔国际(06969.HK)、恒腾网络(00136.HK)、赣锋锂业(01772.HK)等权重增加最多，从0.3%到 0.07%不等。
相反，腾讯(00700.HK)、阿里巴巴(09988.HK)、美团(03690.HK)、工商银行(01398.HK)、网易(09999.HK)、建设银行(00939.HK)、京东(09618.HK)、百度(09888.HK)、小米集团(01810.HK)、蔚来(NIO.US)等因摊薄效应在指数中权重的下降最大。
从交易和调仓角度，还需要结合个股的日均成交情况来判断其具体影响。基於当前1,494亿美元规模(相当於当前MSCI中国指数整体约3万亿美元市值的5%左右)的被动型基金追踪MSCI中国指数的假设，并结合个股各自过去20天的日均成交金额，中金测算，第一是所需要交易被动资金流入中，久泰邦达能源(02798.HK)、金融壹账通(OCFT.US)、宝龙地产(01238.HK)、三一国际(00631.HK)、燃石医学(BNR.US)、华润万像生活(01209.HK)、启明医疗-B(02500.HK)、世茂服务(00873.HK)、融创服务(01516.HK)、中国飞鹤、五矿资源(01208.HK)、康方生物-B(9926.HK)等需要的时间最长，平均在四天以上。(wl/u)
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