QFⅡ制度对A股市场波动影响研究

发布时间：2018-01-21 16:06

本文关键词： QFII制度 A股市场 GARCH模型波动性事件分析　出处：《西北农林科技大学》2014年硕士论文　论文类型：学位论文

【摘要】：现阶段，我国将引入和实施QFII制度作为一项资本项目开放的过渡性战略举措。从2003年我国引进QFII制度到现在，QFII制度已经在我国实施了将近十一年，并已然使其成为推动A股市场发展的一支重要力量。在此期间，QFII制度的总投资额度经历了五次渐进式大扩容。本文在对我国QFII发展现状进行描述的基础上，以QFII制度在我国发展中的五次总投资额度放宽事件对A股市场波动影响为切入视角，通过实证分析，得到QFII制度的渐进式发展对A股市场波动影响程度的结论，并为推进QFII制度的深入发展和后续的政策制定实施提出了相关建议。文章采用理论分析和实证研究相结合的方法，以国际资本流动理论、现代国际证券投资组合理论和金融自由化理论等经济金融学理论为基础，以我国2003年1月4日至2014年3月31日的上证综合A股指数收益率序列数据为研究对象，基于GARCH模型，采用事件分析法，以QFII制度渐进式发展中的五个标志性事件的发生日，即：2003年7月9日、2005年7月11日、2007年12月9日、2012年4月3日和2013年7月12日作为时间节点，将样本数据分成五个部分，引入五个虚拟变量和控制变量，实证研究QFII制度在我国的渐进发展中的不同事件发生阶段对A股市场波动性的影响。实证分析认为：代表着QFII制度渐进式发展的五个标志性事件对我国A股市场收益率的波动产生了不同程度的影响，由五个典型事件引发的政策效应与A股收益率波动性之间的相关性不尽相同。从整体上来看，，如果在不考虑次贷危机引发的金融危机影响的情况下，QFII制度在我国的渐进式发展对我国A股市场波动性的抑制作用在逐渐增强；若在考虑金融危机影响的背景下，QFII顺应大经济环境变迁的撤资行为会加剧我国A股市场收益率的波动。文章在实证研究的基础上，结合实证分析所得结论，对如何健全和完善QFII制度，从而发挥其促进A股市场健康发展和我国资本市场改革开放的正向效应提出了对策建议。
[Abstract]:At present, China will introduce and implement the QFII system as a transitional strategic measure of capital account opening. From 2003 to now, China has introduced the QFII system. QFII system has been implemented in China for nearly 11 years, and has become an important force to promote the development of A-share market. The total investment quota of QFII system has experienced five gradual expansion. This paper describes the current situation of QFII development in China. From the perspective of the impact of five times of relaxation of total investment quota in the development of QFII system on the volatility of A-share market, this paper makes an empirical analysis. The paper draws the conclusion that the gradual development of QFII system affects the volatility of A-share market, and puts forward some suggestions for promoting the further development of QFII system and the subsequent policy making and implementation. Based on the theory of international capital flow, the modern international portfolio theory and the theory of financial liberalization, this paper adopts the method of combining theoretical analysis and empirical research. Based on the data of Shanghai Composite A-share Index return sequence from January 4th 2003 to March 31st 2014, this paper adopts the event analysis method based on GARCH model. The five landmark events in the gradual development of the QFII system, namely, July 9th 2003, July 11th 2005, December 9th 2007. April 3rd 2012 and July 12th 2013 as time nodes, the sample data is divided into five parts, the introduction of five virtual variables and control variables. This paper empirically studies the impact of different events in the gradual development of QFII on the volatility of A-share market. The empirical analysis shows that the five iconic events which represent the gradual development of the QFII system have a different degree of impact on the volatility of the A-share market returns. The policy effect caused by the five typical events and the volatility of A-share yield are not the same. As a whole, if the impact of the financial crisis caused by the subprime mortgage crisis is not considered. The gradual development of QFII system in our country has gradually strengthened the restraining effect on the volatility of A-share market in China. If we consider the influence of the financial crisis, QFII's divestment will aggravate the volatility of the A-share market yield in China. On the basis of empirical research, combined with empirical analysis of the conclusions, how to improve and improve the QFII system. In order to promote the healthy development of A-share market and the positive effect of China's capital market reform and opening up, the countermeasures and suggestions are put forward.
【学位授予单位】：西北农林科技大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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