QFII在中国A股市场上持股特征的研究

发布时间：2018-03-10 13:50

本文选题：合格境外机构投资者　切入点：持股特征　出处：《内蒙古大学》2013年硕士论文　论文类型：学位论文

【摘要】：QFII制度于2002年正式引入中国后,2003年进入实际操作阶段,截止到2012年已整十年。这一为了实现资本市场逐步开放的带有过渡性质的制度安排,在这个十年中经过不断的完善所起的作用以及影响力也逐渐增大。本文对QFII的持股偏好特征进行了实证研究,以期找到QFII投资A股市场的特点,这对我国的机构投资者和个人投资者都有很好的借鉴意义,从投资的理念到实际的管理都可以得到增强。除此之外对监管当局也有很大的参考意义,有助于进一步建设成熟稳健的证券市场。本文以季度为一个观察期,选取了2008年-2012年共20个观察期内QFII所持重仓股的前十名为研究样本,从公司的盈利性、成长性、风险性、审慎人原则、股权结构等多个角度选取变量,采用全样本回归方法和分组回归方法相结合的方式,找出对QFII持股比例影响显著的指标,对QFII持股偏好的特征进行分析,并判断是否和文中列出的先验性假设吻合。研究发现,QFII在制定投资策略进行选股时明显偏好盈利能力强的股票,并且偏好分红较少的小盘股,注重公司的杠杆效应；对公司成长性没有特别关注,并未表现出“审慎人”原则,也没有体现出价值投资理念。通过对牛市和熊市的比较,发现QFII在牛市的表现比熊市更加激进,更加注重利润的最大化,熊市时则更加关注风险的控制。
[Abstract]:After the QFII system was formally introduced into China on 2002, it entered the practical operation stage on 2003. As of 2012, it was a transitional system arrangement to realize the gradual opening of the capital market. In this decade, the role and influence of the continuous improvement has gradually increased. This paper makes an empirical study on the characteristics of QFII's preference for holding shares in order to find out the characteristics of QFII's investment in A-share market. This is a good reference for both institutional and individual investors in China, from the concept of investment to the actual management. In addition, it is also of great reference to the regulatory authorities. It will help to further build a mature and stable securities market. This paper takes quarterly as an observation period, and selects the top ten stocks held by QFII during the 20 observation periods from 2008 to 2012 as the research samples, from the profitability, growth, risk, prudent person principle of the company. Selecting variables from several angles such as ownership structure, using the combination of full sample regression method and group regression method, find out the indexes that have significant influence on QFII shareholding ratio, and analyze the characteristics of QFII shareholding preference. And to determine whether it is consistent with the priori hypothesis listed in this paper. The study found that QFII obviously preferred stocks with strong profitability when formulating its investment strategy, and preferred small-cap stocks with less dividends, and paid attention to the leverage effect of the company, and did not pay special attention to the growth of the company. The comparison of bull market and bear market shows that QFII is more aggressive than bear market and pays more attention to profit maximization. Bear markets are more focused on risk control.
【学位授予单位】：内蒙古大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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