| This paper selects107listed firms whose stocks are heavily held by QFII fromthe first season of2008to the second season of2013aggregated by Wind database onJune.30,2013, with the usage of Zhijun Zhao modified Ohlson Model, which canbetter describe the intrinsic value of stocks, and establishes the dynamic panel datamodel using System GMM estimation method to analyze the relationship between theproportion of QFII share holding and stock price deviation(the extent of deviationbetween stock price and intrinsic value of stocks), and tries to find out the influence ofQFII shareholding on stock price. The result shows that the increase of QFIIshareholding proportion helps stock price to regress to its intrinsic value, however,QFII shareholding behavior has obvious industrial preference, among which themanufacturing industry and service industry are the most strongly investmentconcentrated and have the best regression effect.According to the empirical result above, this paper suggests that we shouldfurther promote the QFII system, lead QFII to invest in various industries, help QFIIcommunicating with domestic institutional investors, take part in corporategovernance and at the same time strengthen the supervision on QFII, to lead it toimprove its investment information transparency and perfect the informationdisclosure mechanism. |
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