The Empirical Study On The Holding Share Partiality Of Domestic Securities Investment Fund And Qualified Foreign Institutional Investors (QFII)

With constant development and completion of China's securities market, the institutional investors represented by security investment fund (hereafter referred to as the fund) is playing more and more important role. On November 7, 2002, China's Securities Regulatory Commission and the People's Bank of China jointly released《Temporary means of management of investment of securities within the territory of qualified external institutional investors》, allowing the qualified external institutional investors (Qualified Foreign Institutional Investors, hereafter referred to as QFII) to make the investment security market within the territory through the special account under some stipulations and limitations. The temporary means of management was reinforced from December 1, which is a symbol of China's capital market introducing the QFII system formally. After more than three years of development, QFII and domestic fund have already become two major important institutional investors in China's securities market.Under the further development of domestic security investment fund and constant completion of QFII system, the investment behaviors of these two major institutional investors will give a strong influence to China's stock market. Their preference of investment will exert an important influence while selecting stocks on other institutional investors and individual investors. However, no matter whether QFII or domestic fund, it is preference of investment will inevitably be reflected by a certain attribute of the stock. And until now, it has not literatures to carry on the comparative study to these characteristics of the holding share of representative institutional investors.So, this paper uses the empirical method to examine both the security investment fund of our country and the holding share partiality of QFII. Through analyzing the most likely concerned indexes related to the basic side and the market manifestation of listed company and the shareholding ratio of institutional investors in the course of selecting stocks, the paper sets up plural regression model. Using Return Law, the text finds the variable index of prominent influence on selecting stocks for institutional investors in these four quarters from quarter 4 of 2005 to quarter 3 of 2006.Based on the above analysis, the paper induces the characteristics and preference for stock holding of these two major institutional investors including of domestic security investment fund and QFII. Finally, through an analysis of every result of return and comparing with the longitudinal one horizontally, the ideas and styles of these two institutional investors can be draw on. This paper attempt to offer reference to individual investors and other institutional investors on the angle of practice, and while hope to give some policy recommendations to the supervision department, listed company, especially to these fund managers.