Research On The Appreciation Of RMB’s Influence On Alteration Of Industy Holding Share Of Qualified Foreign Institutional Investors

On7Nov2002, the China Securities Regulatory Commission(CSRC) and Central Bank announced the Regulations on Domestic Securities InvestmentManagement for Qualified Foreign Institutional Investors(QFII)that will start on1st Dec2002,which indicating the setting-up of QFII system in the stock market of Chinese Mainland.Under the appreciating anticipation of RMB,QFII system setting up.Since the adjustment of RMB exchange rate In July2005, the total appreciation of RMB has surpassed2%This historical event has an inportment influence on the Chinese stock market and has influenced the Institutional Investor who invests on Domestic capital market. As the Continuous Appreciation of RMB and the increasement of QFII’ investment, how the macro environment of the Appreciation of RMB influences the QFII’s industry investment on our Domestic capital market?This question is for Chinese scholars and government have a good theoretical and practical significance.At the environment of the increasement of QFII investment and the appreciation of RMB,this article analysis the interrelated theory and make the empirical study..The study fistly reviews the evolution process of RMB exchange rate regime, describes the pressure of RMB appreciation, the advantages anddisadvantages of RMB appreciation and analysis the therotical knownledge of QFII system.Then analysis how the variation of the RMB exchange rate influence QFII’s industy investment strategy.Then upon the Var model in the empirical study,this article uses the ADF unit root test,the Johansen cointegration test,Granger causality test and the impulse response to analysis the problem we studied. The result reveals that the apprecition of RMB has a influence On the QFII industry holdings at some extent.The QFII shareholdings and RMB exchange rate has the long positive or negative term relation. Besides,Granger review also shows that the RMB exchange rate and a majority of QFII industry holdings Granger cause each other.Finally,according to the analytical result, this article put forward corresponding policy proposal about how to advance QFII system and how to develop QDII system abroad.