QFII制度对中国股票市场波动性影响的研究

发布时间：2018-03-13 17:23

本文选题：QFII　切入点：中国股票市场　出处：《南京师范大学》2012年硕士论文　论文类型：学位论文

【摘要】：2003年我国引入实施QFII制度(Qualified Foreign Institutional Investors)即“合格境外机构投资者制度”,作为资本项目开放的过渡性制度安排。截至2011年,QFII制度施行了有八年,期间有过四次重大的渐进式放宽调整。每一次政策放宽对我国股市的波动性所产生的影响,正是本文的研究对象。本文通过GARCH模型,运用事件分析法,引入虚拟变量,针对八年来QFII制度渐进式开放的四个事件进行实证分析。其中,四个事件分别是：第一次2003年7月,QFII制度的引入实施；第二次2005年7月将QFII的总额度由40亿美元提升到100亿美元；第三次2007年12月9日,对QFII总额度进一步扩容到300亿美元；第四次2009年10月10日,将单家QFII机构投资额度由8亿美元上调到10亿美元,同时对基金类型QFII机构的本金锁定期缩短至3个月。同时,在实证分析中,引入股票交易量作为控制变量来衡量在QFII制度下国内其他机构和散户投资者的交易量对股票指数收益率波动的边际影响。通过短期和长期相结合的实证分析,本文得出结论,即随着QFII制度的渐进式实施,若不考虑金融危机的干扰,其对中国股市的正面影响力不断增强,对中国沪深股市的波动性的约束性作用逐渐显现。这种渐进式放宽的QFII政策的实施,不断扩大QFII在中国股票市场的比重,带动了中国本土机构投资者的壮大,也将投资绩优股、重视上市公司分红、关注企业的盈利能力和长远发展的理性投资理念带给了中国投资者。在此基础上,本文提出了四点政策建议,即继续坚定不移推进渐进式QFII制度、进一步放宽QFII政策、进一步加快我国资本市场结构建设、大力培育国内机构投资者,使资本市场真正成为为实体经济提供定价、融资,为个人、机构投资者提供分享我国经济增长成果的平台。
[Abstract]:In 2003, China introduced the qualified Foreign Institutional investors system (QFII) as a transitional institutional arrangement for the opening of capital account. By 2011, the QFII system had been implemented for eight years. There have been four major gradual relaxation adjustments during this period. The impact of each policy relaxation on the volatility of China's stock market is the object of this paper. Based on the GARCH model and the event analysis method, this paper makes an empirical analysis on the four events of the gradual opening of the QFII system in the past eight years. The four events are as follows: first, the introduction and implementation of the QFII system in July 2003; On July 2005, the total amount of QFII was increased from $4 billion to $10 billion; on December 9th 2007, it was further expanded to $30 billion; and on October 10th 2009, 4th times, The investment quota of a single QFII institution was increased from $800 million to $1 billion, while the principal locking period of the fund type QFII institution was shortened to three months. Stock trading volume is introduced as a controlling variable to measure the marginal influence of trading volume of other domestic institutions and retail investors on the volatility of stock index returns under the QFII system. Through the combination of short-term and long-term empirical analysis, this paper concludes that with the gradual implementation of the QFII system, if the financial crisis is not taken into account, its positive influence on the Chinese stock market is increasing. The binding effect on the volatility of China's Shanghai and Shenzhen stock markets has gradually become apparent. The implementation of this gradual relaxation of the QFII policy has continuously increased the proportion of QFII in China's stock market, which has led to the growth of local institutional investors in China and will also invest in high-grade shares. Paying attention to the dividends of listed companies, paying attention to the profitability of enterprises and the rational investment concept of long-term development have brought Chinese investors. On this basis, this paper puts forward four policy recommendations, that is, to continue to unswervingly promote the gradual QFII system. Further relaxing the QFII policy, further speeding up the construction of China's capital market structure, vigorously cultivating domestic institutional investors, and making the capital market truly become the real economy to provide pricing, financing, for the individual, Institutional investors provide a platform for sharing the fruits of our country's economic growth.
【学位授予单位】：南京师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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