The Impact Of QFII Holdings To Volatility Of Yield Of Stock In China's Securities Business

Since we started bring QFII into force in 2002, QFII quota of investment keep on increasing till December 9^th 2007, and the quota up to $30 billon. Judging from these phenomenon people all believed that the influence of QFII becoming more and more strong in our stock market. but our knowledge of the influence of QFII based generally on sensibility, but whether investors' invest activity reasonable or not, whether good for the stability ,or it worse the fluctuation of the stock market ,all above guessing is lacking of the support of researching. This article target on the influence of the s investor share, and use the method of demonstration to analyze, try to objectively see the influence of QFII in our stock market. Meanwhile, to see whether the QFII system reach the expected aim of leveling off securities business, and offer a chance to improve and better our QFII system. The method on this article is similar as event study, that is comparing the fluctuation rate before and after QFII holder release the information, to see is there any obvious change, by this, to measure whether QFII has impact on our stock market. But in the process of event study, we put two different period of time in our study, in order to see in different period of time, whether the yield of the stock or the fluctuation rate has any difference according to the information of QFII holder. In the process of testify, we use the method of simple statistical study to analyze the fluctuation rate of the stock profit, and other factors, to see any distinguishing change involved in the process of the event. And the use of multi-factor model is established to tell which kind of factors involved, the changes caused by the QFII holder or other in whole. Conclusions in this article are based on the efficient market hypothesis and behavioral finance theory, and combined the part of the fluctuation rate of the stock price in these two hypothesis try to make reasonable explanation.According to the study, except the first quarter of 2004, from the fourth quarter to 2007 the third quarter, in all 15 quarters as research samples, it showed that QFII holder lead to the increase of stock fluctuation rate in the period of time of 10 days of trade, on the contrary, in the period of time of 30 days of trade, holder's influence on the yield of stock is weaker than in the period of 10 days of trade. The reason why this happened might be the QFII holder, investors are over-reaction in the short days of trade, gradually back to reasonable. At the same the issue that the QFII hold the stock, not only impact on the stability of the stock market, but also the acceleration of the fluctuation which leads to the two kinds of phenomenon we mentioned above. The increasing of market fluctuation is in domination in short days of trade, while in long days of trade the influence of market is the key point. So we have different conclusions according to the different terms of trade-long days of trade or short days of trade.In addition, the different samples will be gained, according to the quarter, industry, the size of the stock, the initial stock holdings and the continuous stock holdings, and other classification criterion, while using the different samples in the different period of time, there are some differences in the conclusions on the degree and the direct of the impact of QFII holdings to the volatility of yield of stock. The author believes that this is due to the listed companies information disclosure system and inadequate accounting standards, loose government control, the high cost of information in stock market, poor transparency, making the existence of a large number of phenomena of information asymmetries. At the same time, due to the difference about personal preferences, expectations, wealth, data-processing ability, experience, reaction mechanism ,different investors will have the different response to the same information on QFII holdings, complete response, or over-reaction, or under-reaction.according to the different samples, the different conclusions will be summarized, so, it is not sure whether QFII holdings will increase volatility of yield of stock, or reduce it ,and therefore our initial aim that through the implementation of the QFII system to reduce excessive Speculation of stock market and develop a more stable stock market did not come true. This article also indirectly proves that China's securities market for a variety of reasons, is still not a semistrong-formefficiency one. in accordance with the conclusions in this article, we put forward the corresponding policy recommendations: First, improve the information disclosure system of listed companies, strengthen the supervision of the securities market to reduce the phenomenon of information asymmetric; Second, investors raise their own quality, to reduce information-processing biases and irrational behavior; third, improve China's QFII system, strengthen the supervision of QFII investment.in conclusion, the main contribution of this article is that: (1) for the first time, using the normative study measure of demonstration, this paper examines the relationship between QFII holdings and volatility of yield of stock in china's securities market, makes up for gaps in the academic field. (2) using more complete data, multi-sectional , multi-angle ,examine continuously the impact of QFII holdings to the volatility of yield of the stock, conclude that it is not sure whether QFII holding shares increases volatility of yield of stock, or reduces it.