China Stock Market After The Introduction Of Qf Ii Risk Of Empirical Analysis

With the development of economic globalization and China's market economy, the association between China's securities market and international securities market has gradually improved.And the interaction has become more pronounced. By the implementation of the QFII system in China, international capital can inflow into China's capital market through a specific channel, making China's capital market an important part of the international capital markets. For China,a developing country with capital account not yet fully liberalized and domestic stock market still not perfect enough, the QFII system is a kind of transitional arrangements the securities market's orderly and secure opening. However, with the entry of QFII, China's securities market will be faced with risks from the impact of international surplus money, financial regulation, and so on. QFII has been in China for six years. And therefore, with the gradual opening of China's securities market, further relaxation on the range of QFII, all of us are paying more attention on the the impact which QFII has brought on China's securities market, especially on the impact on the risks of China's securities market .This paper focuses on stock market risk, using time series, quantitative methods, CVaR dynamic computing model,and EGARCH-GED model to analysis characteristics of securities market risk before and after the introduction of QFII in China. Considering that equity division reform has significant impact on stock market risk, it does a empirical analysis on the changes of China's stock market risk level after the introduction of QFII with the time when equity division reform was put into full implementation as a cutoff point. In view of the influences of the introduction of QFII on the internationalization of China's stock market,it compares risk conditions between the NYSE market and China's securities market,and makes causal analysis.A conclusion is reached,after the introduction of QFII China's securities market risk has increased compared to the previous level.By the causal analysis on two markets during the same period, especially the duration of the global financial crisis,it concludes that after the introduction of QFII in China,factors leading the changes of stock market risk level do not come directly from abroad. Finally, it supports the conclusions by qualitative analysis, and proposes appropriate policy recommendations.