《大行報告》中金：料騰訊、阿里及美團等因攤薄效應在MSCI半年檢中權重下降最大
就MSCI公布其所有指數的2021年5月的半年度指數審議結果，其中包括MSCI中國指數。此次為半年度審計，涉及的個股調整較多，相應影響也較為廣泛，中金發表報告表示，MSCI中國指數半年度調整新增60隻股份(海外中資股納入21隻、A股納入39隻)，同時，此次調整剔除了21隻成分股。
該行指，調整後的成份股從當前的709隻上升為748隻(其中A股490隻，權重12.6%；B股2隻，權重0.1%；港股210隻，權重57.1%； 中概股46隻，權重30.2%)。 除了成分股調整外，MSCI還調整90家公司的自由流通因子(FIF， Foreign Inclusion Factor，如權重變化較大的貝殼(BEKE.US)、理想汽車(LI.US)、中國飛鶴(06186.HK)等均與此有關)、以及171家公司的納入股本數，也將因此會對成分股在指數內權重產生變化。
從絕對權重變化幅度來看，中金測算，受此次調整影響，貝殼、中國飛鶴、理想汽車、保利協鑫(03800.HK)、騰訊音樂(TME.US)、小鵬汽車(XPEV.US)、拼多多(PDD.US)、思摩爾國際(06969.HK)、恆騰網絡(00136.HK)、贛鋒鋰業(01772.HK)等權重增加最多，從0.3%到 0.07%不等。
相反，騰訊(00700.HK)、阿里巴巴(09988.HK)、美團(03690.HK)、工商銀行(01398.HK)、網易(09999.HK)、建設銀行(00939.HK)、京東(09618.HK)、百度(09888.HK)、小米集團(01810.HK)、蔚來(NIO.US)等因攤薄效應在指數中權重的下降最大。
從交易和調倉角度，還需要結合個股的日均成交情況來判斷其具體影響。基於當前1,494億美元規模(相當於當前MSCI中國指數整體約3萬億美元市值的5%左右)的被動型基金追蹤MSCI中國指數的假設，並結合個股各自過去20天的日均成交金額，中金測算，第一是所需要交易被動資金流入中，久泰邦達能源(02798.HK)、金融壹賬通(OCFT.US)、寶龍地產(01238.HK)、三一國際(00631.HK)、燃石醫學(BNR.US)、華潤萬像生活(01209.HK)、啟明醫療-B(02500.HK)、世茂服務(00873.HK)、融創服務(01516.HK)、中國飛鶴、五礦資源(01208.HK)、康方生物-B(9926.HK)等需要的時間最長，平均在四天以上。(wl/u)
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