合格境外机构投资者超额收益率与中小投资者保护——基于中小投资者投资策略的视角

发布时间：2018-06-12 07:17

本文选题：QFII + 超额收益率　；参考：《经济管理》2011年07期

【摘要】：合格境外机构投资者(英文缩写QFII)自2003年引入中国以来,其投资风格便一直是市场关注的焦点,尤其是不少中小投资者更是将QFII的投资行为奉为圭臬。但由于QFII信息披露的稀缺性和滞后性,使得QFII和中小投资者之间的信息不对称现象十分严重,这有意无意中误导了中小投资者的投资行为。本文利用我国A股市场2007～2009年连续10个季度的上市公司为研究样本,实证检验QFII在我国A股市场的超额收益率。本文静态研究设置全样本组和QFII持股组,研究结果表明,QFII持股上市公司无法产生正的超额收益;动态研究设置全样本组、QFII增仓组和QFII减仓组,研究结果表明,QFII增仓上市公司产生显著为正的超额收益,而QFII减仓上市公司产生显著为负的超额收益。本文研究结论对证券监管部门规范QFII信息披露、引导中小投资者理性投资有一定的启示意义。
[Abstract]:The investment style of qualified foreign institutional investors (abbreviated QFII) has always been the focus of the market since its introduction of China in 2003. In particular, many small and medium-sized investors take the investment behavior of QFII as the standard. But because of the scarcity and lag of the QFII information disclosure, the information asymmetry between the QFII and the small and medium investors is present. The image is very serious, which misleads the investment behavior of small and medium investors. This paper empirically tests the excess returns of QFII in the A share market of our country by using the listed companies of the A stock market for 2007~2009 years for 10 consecutive quarters. This paper statically studies the whole sample group and the QFII shareholding group. The results show that QFII holds the stock market. The stock listed companies can not produce positive excess earnings; the dynamic study set up full sample group, QFII adding warehouse group and QFII reduction group. The research results show that the QFII adding stock listed companies have significant positive excess returns, while the QFII reduction listed companies have significantly negative excess returns. The conclusion of this paper is to the securities regulatory department to standardize QFII information cloak. Revealing and guiding the rational investment of small and medium investors has certain enlightenment significance.
【作者单位】：厦门大学管理学院;
【分类号】：F832.51

【参考文献】