An Analysis About The Impact Of Qualified Foreign Institutional Investors (QFⅡ) System On China Stock Market's Volatility

QFII system is the transitional measurement for a country or a region to open up its capital market. In order to improve China security market's development, QFII system was introduced to China in 2002.This assay uses stock market's related data to make an empirical analysis about QFII's impact on China stock market's volatility and about the positive impact of China security market's institutional improvement and optimization of investment environment on QFII.In the part of empirical analysis, this paper uses GARCH model and event analysis to study the volatility of related stock indexes after QFII's entering into China's stock market. According to particular events about QFII's investment amounts's expanding, this article uses three dummy variables for the the process of QFII's deeply involved in China's stock market with the release of investment limitations. Besides, this assay uses the fourth dummy variable for the consummation of the shareholder structure reform. Based on the study of coefficients of these four dummy variables, this article makes a thorough study on QFII's impact on China's stock market's volatility and if China's security market's institutional improvement and optimizing investment environment have positive impact on QFII's positive role.Empirical results show that QFII's investment behaviors have a positive role in controlling stock market's volatility. With the expanding of investment amount, the role of stabilizing the stock market is also growing. The consummation of the shareholder structure reform is conducive for QFII to play its positive role in controlling stock market's volatility. This conclusion can be conjectured for the whole of China's security market's institutional improvement and optimizing investment environment. Therefore, the article suggests that we should release QFII's access to China's stock market and promote the further opening of China's security market; we should strengthen the system construction of China's security market and further optimize the external environment for QFII.