QFII在A股市场上审慎持股偏好的研究

发布时间：2018-07-07 07:29

本文选题：QFII + A股市场　；参考：《暨南大学》2012年硕士论文

【摘要】：QFII制度是实现渐进开放资本市场的过渡期安排，自2002年底正式引入中国后，经过近十年来的不断发展和完善，QFII在我国资本市场的影响力越来越大。本文对QFII持股偏好进行实证研究，将有利于改进国内投资者的投资理念和管理技术，有助于监管当局对资本市场的管理，进而对于进一步促进我国资本市场的开放和发展也具有现实的指导意义。本文以半年度为一个观察期，选取2007.6-2011.6间共9个观察期内QFII在A股市场中所持有的上市公司为研究样本，从公司的基本面、市场表现以及治理结构等多个角度选择体现公司审慎特征的变量，采用横截面数据回归和分位描述等方法，，找出对QFII持股影响显著的指标，然后分析QFII的持股偏好，并以此来判断QFII是否符合“审慎人”假设。研究发现：QFII对前期表现好、前五大股东的股权集中度低和股息率高的个股具有明显的偏好，这遵循了“审慎人”原则；但同时，QFII所持的公司大多具有规模小、换手率低以及流通股比例低等特征，这又违背“审慎人”假说；此外，本文发现QFII并没有对具有审慎性特征的沪深300指数成份股表现出明显的偏好，甚至在某种程度上来说还是厌恶的。所以总体上看，QFII在A股市场中的持股偏好是非审慎的，并没有完全遵循其所推崇的审慎投资理念。
[Abstract]:QFII system is a transitional arrangement to realize the gradual opening of capital market. Since the formal introduction of QFII into China at the end of 2002, the influence of QFII on China's capital market has become more and more important after the continuous development and improvement of QFII in the past ten years. In this paper, the empirical study of QFII stock holding preference will help to improve the investment concept and management technology of domestic investors, and help the regulatory authorities to manage the capital market. Furthermore, it is of practical significance to further promote the opening and development of China's capital market. This paper takes semi-annual as an observation period, selects the listed companies held by QFII in A share market during the 9 observation periods in July 6-2011.6 as the research sample, from the company's fundamental aspect, Market performance and governance structure are selected to reflect the characteristics of corporate prudence, cross-sectional data regression and quantile description methods are used to find out the significant impact on the QFII shareholding indicators, and then analyze the QFII preference. And this is to determine whether QFII conforms to the "prudent man" hypothesis. The study found that the first five major shareholders had a clear preference for stocks with low concentration and high dividend yield, which followed the "prudent person" principle. But at the same time, most of the companies held by the QFII had a small scale. The characteristics of low turnover rate and low tradable stock ratio are contrary to the "prudent person" hypothesis. In addition, this paper finds that QFII has no obvious preference for the CSI 300 component with prudent characteristics. Even to some extent, it is abhorrent. So overall, QFII's preference for holding shares in the A-share market is imprudent and does not fully follow the prudent investment philosophy it advocates.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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