QFII在中国证券市场的效应研究

发布时间：2018-08-22 20:43

【摘要】：中国于2002年12月正式实施QFII制度，QFII是英文Qualified ForeignInstitutional Investors的缩写，所谓QFII，就是合格境外机构投资者，通常泛指保险、银行、证券商、基金管理机构，以及其它投资机构，包括共同基金、退休基金、政府基金及慈善基金等。 QFII制度是指一个国家或地区，在货币未能实现完全自由兑换，以及资本项目尚未开放的情况下，有限度地引进外资、开放资本市场的一项过渡性的制度。这种制度要求外国投资者，在进入一国的证券市场时，必须符合一定条件，通过该国有关部门的审批后，汇入一定额度的外汇资金，再转换为当地货币，通过监管的专门帐户投资当地证券市场。 QFII制度的建立与证券市场开放有极大的关联，在全球经济一体化的浪潮下，许多发展中国家通过证券市场开放达到与国际市场接轨。QFII制度就是有限制直接开放的一种模式。本文采用了定性与定量分析，多方面地探讨QFII制度对中国证券市场产生的效应。中国施行QFII制度的效应，包括了提高中国与国际市场关联度；优化投资者结构与投资理念；推动金融创新；促进上市公司完善股权结构与公司治理；完善证券市场监管；带来金融服务业的机会与挑战等。定量分析则是研究中国股票市场与国际股市的国际接轨效应。研究期间为1997年至2011年，变量的选取为上证综合指数、深证综合指数、美国道琼工业指数、德国法兰克福DAX指数、香港恒生指数与台湾加权股价指数。以相关系数分析、因素分析法，分析中国引进QFII制度后，上海股市、深圳股市与国际主要股市的收益率联动性的变化。实证结果表明，QFII制度实施后，中国股市不再是封闭的股票市场，中国股市的涨跌方向与国际股市走势方向一致，，同时与国际主要股市的收益率联动性也比引进QFII前明显提高。此外，以动态条件相关GARCH模型（Dynamic Conditional CorrelationGARCH Model，即DCC-GARCH模型）分析上海股市与深圳股市与国际主要股市的波动溢出效应。实证结果表明，QFII制度实施后，促进中国股市的波动性向国际股市靠拢，波动溢出效应非常明显。QFII的进驻，并没有对中国股票市场起到稳定的作用，而是加大了随国际股市波动的程度。论文最后总结了我国推行QFII制度后尚待解决的问题，包括人民币剧烈波动的防范问题；QFII的信息披露不够完善的问题；QFII对上市公司股权的掌控性问题；QFII可能带来国际传导性风险的问题。并进一步提出政策建议，包括继续采取循序渐进的稳健政策；强化QFII的信息披露；完善金融商品创新的配套制度；完善监管体制；以及培养国际证券人才等。
[Abstract]:China formally implemented the QFII system in December 2002. QFII is the abbreviation of Qualified Foreign Institutional Investors. QFII is a qualified foreign institutional investor. It usually refers to insurance, banks, securities dealers, fund management institutions and other investment institutions, including mutual funds, retirement funds, government funds and charitable funds.
QFII system refers to a transitional system in which a country or region, under the condition that the currency is not fully convertible and the capital account is not yet open, introduces foreign capital to a limited extent and opens the capital market. After examination and approval by the relevant departments, a certain amount of foreign exchange funds is remitted, and then converted into local currencies to invest in the local securities market through supervised special accounts.
The establishment of the QFII system is closely related to the opening of the securities market. In the tide of global economic integration, many developing countries have reached the international market through the opening of the securities market.
This paper uses qualitative and quantitative analysis to explore the effects of QFII on China's securities market in many ways. Good securities market regulation brings opportunities and challenges to the financial services industry.
Quantitative analysis is to study the international convergence effect of China's stock market with the international stock market. From 1997 to 2011, variables were selected as Shanghai Composite Index, Shenzhen Composite Index, Dow Jones Industrial Index, Frankfurt DAX Index, Hang Seng Index and Taiwan Weighted Stock Index. The empirical results show that after the implementation of the QFII system, the Chinese stock market is no longer a closed stock market. The rising and falling direction of the Chinese stock market is consistent with the trend of the international stock market and the yield of the international major stock market. Linkage is also significantly higher than before the introduction of QFII.
In addition, the volatility spillover effects of Shanghai and Shenzhen stock markets and major international stock markets are analyzed by using the dynamic conditional correlation GARCH model (DCC-GARCH model). The entry of QFII did not play a stabilizing role in China's stock market, but increased the degree of volatility with the international stock market.
Finally, the paper summarizes the problems to be solved after the implementation of QFII system in China, including the prevention of RMB volatility; the inadequate disclosure of QFII information; QFII's control over listed companies'equity; QFII's possible risk of international conductivity; and further puts forward policy recommendations, including continuing to adopt. Steady and progressive policies; strengthening QFII information disclosure; improving the supporting system of financial commodity innovation; improving the regulatory system; and training international securities talents.
【学位授予单位】：南开大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51

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