| QFII is a market open mode that allow qualified foreign institutional investors, under certain regulations and restrictions, import a certain amount of foreign exchange funds, and converted to local currency by the strict supervision of a special account investing in the local stock market, Capital gains, dividends can be converted to foreign exchange remitted. QFII core issues include three aspects: One is a qualified institutional problem of identification. Including the number of registered capital, financial condition, operating period, whether there is a violation of discipline records appraisal standards, to select the high credit and strength, no bad business records of institutional investors; Second, the remitted into funds internal control problem with qualified institutions. Generally there are two different methods:Take time of outflow of funds under coercion and limits; Another is to use tax means, Different on different remitted into the time and limit the tax, In order to restrict the flow of foreign capital. Third, the investment scope and limit of qualified institutions.China’s securities market after10years of development, the overall scale, function and efficiency improve greatly, Has become one of the Asia-Pacific region is also the most dynamic securities market. On the other hand, The proportion of institutional investors in the securities market in China is much lower than overseas mature markets, which severely restricts the play of the features of China’s securities market, From this perspective, the introduction of QFII system is ripe. Since2001, China gradually Experts suggest China as soon as possible the introduction of the QFII system. July18,2002, the Shenzhen Stock Exchange held a series of seminars, experts and scholars to participate in the forum of the introduction of the QFII system to offer advice and suggestions to solve some of the technical problems in the introduction of the process. On November7,2002, the China securities regulatory commission and the people’s bank of China jointly issued the qualified foreign institutional investors in securities investment management interim measures "(hereinafter referred to as" method ") And take effect on December1The same day, the Shanghai stock exchange and shenzhen stock exchange issued a separate "qualified foreign institutional investors securities trading conditions", marks the operation of QFII system entered a substantive stage.QFII system in our country is carried out for nearly10years, experienced the stage of China’s stock market boom and bust, and also experienced the equity division reform, the financial crisis. Regulatory authorities in this decade, experts and scholars has been to investigate the impact of the implementation of the QFII system of China’s securities market, as management authorities are expected to play the role of the stability of the securities market or increased volatility in securities markets, In-depth study on this issue can be more focused on the implementation of the QFII regulatory develop QFII system and QFII expansion of reasonable pace.This paper is to review the domestic and foreign scholars study of QFII, and then elaborate on China’s QFII system and its reform, as well as investment in the status quo. Finally, further empirical analysis of the specific price of their stock and industry Shigekura shareholding industry companies through the establishment of the GARCH model and panel data regression model, and propose appropriate policy recommendations on the basis of the regression results.In this paper, the concrete structure is divided into six partsThe first chapter is introduction, including the introduction selected topic background and significance, the research content, research method and the difficulty and innovation points.The second chapter is literature review, research status of experts and scholars at home and abroad about the QFII system is reviewed. Main is according to the influence of QFII to our country securities market and QFII’s investment behavior, summarized the two main lines.The third chapter expounds the initial of the QFII system in China and its change, analysis of QFII is the current status of your investment in the securities market in China and the distribution of the heavy warehouse owned industry.The fourth chapter is the empirical part of this paper,is also the focus of the chapter. First in this paper, a brief introduction to choose to use an empirical model, Then describe the selected sample, Finally empirical model building and empirical data processing and summarizing and analyzing the results.The fifth chapter is construction of panel data regression model. Due to the company’s financial and operating performance of company share price volatility is the decisive factor, So this article selects can on behalf of the company’s financial condition, operating performance and shareholder profitability indicators as control variables. First, descriptive statistics of all kinds of indexes of industry company, By comparing the QFII shareholding with no holding company of various indicators, This paper argues that the QFII shareholding has a certain effect on company’s share price, Then in order to further investigate the accuracy of the conclusion, through panel data regression model to analyze the correlation of the QFII shareholding or not with the company’s share priceChapter6part is the summary of this article, on the basis of the analysis of the empirical results, on how to further perfect our country securities market construction, improve the QFⅡ investment market environment are proposed.The innovation point of this paper is to:By collating and QFⅡ heavy warehouse owned industry implementation of QFⅡ system in China, choose the five largest shareholding proportion, using industry index for empirical analysis. Since the implementation of the QFⅡ system. The scholars also conducted a series of studies, impact, However, most of the literature is to study the impact on China’s securities market, taking into account the QFⅡ in China’s A share market share is little.Research industry Shigekura holdings more reasonable and accurate.Because each line of the economic cycle, the stock price volatility and stability of each industry is caused by the economic cycle of or caused by the QFⅡ shareholding is not clear. Firstly, by the various indicators of QFⅡ holdings company with not holding companies through simple descriptive statistics were compared, clear value QFⅡ holding company stock indicators QFⅡ holdings of stocks, and then a panel data regressionstudy QFⅡ and the relevance of the company’s share price.This article selects the black metal industry index, the index of financial services, real estate index, the index of information service industry, transportation industry five industry index are analyzed, Through inspection of GARCH model, this paper argues that QFⅡ entering China’s securities market early do not agree the effects on the securities market in China, QFⅡ initial into increased the stock yield fluctuation. And QFⅡ for2005years,2007years of experience in the expanded twice, although on its heavy warehouse owned industries also inconsistent, First expansion of ferrous metals industry, the financial services industry have played an important role in inhibition of stock yield fluctuations, and to information service industry, transportation industry has stepped up its stock yield fluctuation, As the second expansion, its the results of this paper selected five industry is consistent, namely along with the expansion of the ongoing, QFⅡ gradually played the positive effects of inhibition of stock yield fluctuation. So in terms of overall trend QFⅡ to achieve the original intention of regulatory authorities when introducing QFⅡ. And as an important step to perfect securities market in China, started in2005and reform of non-tradable shares did not rise to management to achieve the desired effect, this is from the industry can be seen it is the result of empirical analysis, and the result is more consistent. The possible reason is due to incomplete development of China’s securities market on the one hand, the securities market system and the governance structure of listed companies is not perfect, imperfect information disclosure, and interest groups involved in complex, and the reform of non-tradable shares is constantly improving our country securities market on the one hand, so the stock market policy transmission mechanism is not sound makes the equity division reform work immediately. On the other hand may be caused by "size not ban" index quickly increase or decrease in the combined with peripheral market especially the American economic situation is not optimistic, the ban is an over the negative effects of the size.Followed in this paper, the heavy warehouse owned industries for specific analysis, By choosing2005-2011, the industry of listed companies is closing price as the explained variable, the lag of the QFⅡ is whether the firm’s shares as explained variable, meanwhile, also chose the ROA, ROE, EPS, dividend distribution rate, Q, operating profit growth and asset-liability ratio, inventory turnover, which can reflect the corporate performance, corporate value, shareholder’s profit ability, growth ability, ability as well as the company’s operating risks for the company as the main indicator of ability to be explained variables for analysis. By establishing the panel data regression model analysis, first of all, this paper argues that the QFII shareholding exists or not and the company’s share price is at least1.0%of the positive correlation, this also verify the QFII heavy warehouse stock return volatility is reduced by the QFII shareholding industry caused by the conclusion, Second, QFII when considering a company’s shares is value of the company’s performance and shareholder profitability and the company’s growth ability; Finally, QFII when considering whether to hold company stock is not very concerned about the company’s inventory turnover ratio, QFII tend to invest and asset-liability ratio is low, but due to the different sectors of the economic cycle, industry characteristics, national related policy is different, the empirical results show that this conclusion is not consistent, QFII holders of the real estate company’s asset-liability ratio is greater than the company does not hold. This may be due to a decade of rapid development of the Chinese real estate industry in nearly a decade, is also one of the most profitable industry, Its own funds to the rapid development of the real estate it difficult to meet their needs, so a lot of bank loans and other sources of funds, while rigid demand exists because of China’s real estate, a vast market, with less risk, QFII will holdhigher asset-liability ratio of the company stock. |
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