资本市场开放对股票市场质量的影响是学术界长期关注的课题。2018年6月，A股被正式纳入MSCI全球指数和新兴市场指数，与QFII/RQFII制度以及“沪港通”/“深港通”制度建立起外资进入A股市场的渠道不同，A股纳入MSCI指数表明A股被主动纳入全球资产篮子，吸引境外投资者关注和投资于中国市场的作用显著增强，对我国资本市场开放具有重要意义。本文以A股纳入MSCI指数事件为准自然实验平台，利用股票的异质波动率作为衡量股票市场质量的指标，对A股纳入MSCI指数对股价异质性波动的影响展开研究。本文以2014年4季度（“沪港通”开通后）至2021年4季度为研究区间，以陆股通标的股为研究样本，其中MSCI标的股为处理组，非MSCI标的股为对照组，利用双重差分（DID）模型进行回归分析，并基于倾向匹配得分（PSM）模型和处理组标的分批纳入形成前后对照的特点筛选样本以降低内生性问题。此外，本文通过在模型中加入交叉项检验了纳入比例变化的影响，通过分组回归检验了A股纳入MSCI指数对股价异质性波动的影响是否通过引入外资实现。最后，本文构建影响机制检验模型检验了交易层面和公司层面的三个潜在影响机制。本文得出如下结论：首先，A股纳入MSCI指数显著降低了股价的异质性波动，纳入比例提高同样显著降低了股价的异质性波动；其次，A股纳入MSCI指数提高了标的股的外资持股比例，纳入前外资持股比例低的标的股被纳入后股价的异质波动率下降更多，表明该事件提高了外资对A股的关注和投资，从而降低了股价的异质性波动；最后，A股纳入MSCI指数对股价异质性波动的降低作用中存在提高股价反应速度（交易层面）和提高公司的信息披露质量（公司层面）两个维度的影响机制。本文的创新点在于，和以往研究多基于“沪港通”或“深港通”开通事件不同，本文以A股纳入MSCI指数这一导致A股在国际投资者资产配置中从“可选”变为“必选”的事件为出发点，利用最新的样本展开研究，通过不同的样本筛选方法降低内生性问题，并检验了外资持股比例的变化，得出了更严谨的结论。此外，本文还区分了交易层面和公司层面的传导机制分别检验，并发现了新的潜在作用机制，为未来MSCI指数扩容的影响和我国资本市场开放的节奏提供了借鉴意义。

The impact of capital market opening on the quality of stock market has been a widely concerned academic topic. In June 2018, A-shares were officially included in the MSCI All Country World Index and Emerging Markets Index. Unlike the QFII/RQFII system and the Shanghai/Shenzhen Stock Connect program, which established a channel for foreign capital’s entering into the A-share market, the inclusion of A-shares in the MSCI index indicates that A-shares are actively accepted by the global asset basket, which significantly promotes foreign investors' attention and investment in Chinese market and also becomes an important sign of China’s capital market opening.This paper takes the inclusion of A-shares into the MSCI index as a quasi-natural experiment platform, and uses the heterogeneous volatility of stock prices as the measurement of stock market quality in order to study the impact of the inclusion of A-shares into the MSCI index on the heterogeneous volatility of stock prices. This paper takes 2014Q4 (after the opening of Shanghai Stock Connect program) to 2021Q4 as the research period, and the constituent stocks of the Shanghai/Shenzhen Connect program as the research sample, in which the MSCI index components are the experimental group, and others are the control group. The Difference-in-Differences (DID) model is used for regression analysis, and samples are screened based on the Propensity Score Matching (PSM) model and the experimental group's sequential inclusion and natural comparison characteristic to reduce endogeneity problems. In addition, this paper examines the effect of changes in the inclusion ratio by adding interaction terms to the model, and tests whether the impact works through foreign capital inflow by group regression. Finally, this paper examines three potential impact mechanisms at both the transaction level and the firm level using a mechanism testing model.This paper draws the following conclusions: First, the inclusion of A-shares in the MSCI index significantly reduces the heterogeneous volatility of stock prices, and the increase in the inclusion ratio also significantly reduces the heterogeneous volatility of stock prices. Second, the inclusion of A-shares in the MSCI index increases the foreign shareholding ratio of the constituent stocks. Moreover, the heterogeneous volatility of stock prices decreases more after inclusion for stocks with low foreign shareholding ratio before inclusion, indicating that the MSCI index’s inclusion increases foreign attention and investment in A-shares, thereby reducing the heterogeneous volatility of stock prices. Third, the reduction effect of A-shares’ inclusion in the MSCI index on the heterogeneous volatility of stock prices works through mechanisms of two dimensions. The inclusion of A-shares in the MSCI index improves stock price response speed at the transaction level, as well as improves corporates’ information disclosure quality at the firm level thus reducing the heterogeneous volatility of stock prices.The innovations of this paper are as follows. Unlike previous researches which usually based on the opening of Shanghai-Hong Kong/ Shenzhen-Hong Kong Stock Connect program, this paper focuses on the inclusion of A-shares in the MSCI index, which has changed the role of A-shares in the asset allocation of international investors from an option to a requirement. Furthermore, the latest samples are used to conduct research and various sample screening methods are applied to reduce endogeneity problems. Examination of changes in the foreign shareholding ratio is conducted to draw more rigorous conclusion. Finally, this paper distinguishes the mechanisms from the transaction level and the firm level, and finds a new potential mechanism, which provides reference for the impact of the MSCI index expansion and the rhythm of China's capital market opening in the future.