The Impact Study Of QFⅡ To Volatility Of Yield Of Stock In A Stock Market

In2002, our country started to bring QFII into force, then the quota of QFII investment keeps on increasing, till July12th2013, the quota was up to$150billon. So people believe that the influence of QFII is becoming more and more strong in A stock market. While whether the investors’activity reasonable or not, whether good for the stability or it worse the fluctuation of the stock market, all impact results before were not the same. This article target on the influence of the QFII share, and use the method of impact research to analyze, try to see the influence of QFII in A stock market objectively. Meanwhile, to see whether the QFII system reach the policy aim of leveling off securities business, and offer a reference to improve our QFII system.The method is similar as event study in this article, that is, after QFII holder release the information, to see the change of the fluctuation rate before and after, by this, to measure whether QFII has effect on A stock market. 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, according to the information of QFII holder, whether the volatility of yield of the stock has any difference. In the process of testify, we first use the method of simple statistical study, to analyze the fluctuation rate of the stock profit and other factors, to see if there was any obvious change involved in the process of the event. Then establish the muti-factor model to tell which kind of factor caused the changes was involved. Then based on the efficient market hypothesis and behavioral finance theory, try to analyze the reasons of the conclusions in this article about the volatility of the stock price.According to the study in this article, from the first quarter of2008to the third quarter of2013, in all23quarters research samples, it showed that in7day period, QFII holder increased the volatility of the yield of stock which was on the contrary in30day period, and holder’s influence on the yield of stock is weaker in30days than that in7days. The information of QFII holder might cause this. In short days, investors are over-reaction, then gradually back to reasonable. In addition, the information about QFII share led to the stability or the fluctuation of A stock market depended on the strength of the two kinds.In short days, the increasing of market fluctuation is in domination, while the stability of market is the key point in long days. So we have different conclusions according to the different terms of period.Besides, according to the quarter, industry, different samples will be gained, there are some differences in the conclusions on the degree and direction of the effect on the volatility of yield of stock which caused by QFII holdings while using different samples in different period of time,. The author believes that this is due to the inadequate accounting standards, listed companies information disclosure system and the high cost and poor transparency of information in stock market, loosing government control, which cause a large number of phenomena of information asymmetries. In addition, because of the difference of personal preferences, wealth, expectations, experience, reaction mechanism, data-processing ability, different investors have different response to the same information on QFII holdings, including under-reaction, complete response and over-reaction.Because of the different samples, there are different conclusions, so it is not certain whether QFII holdings will increase the volatility of yield of stock or reduce it, therefore we initially aim at reducing excessive speculation in stock market and develop a more stable stock market through the implementation of the QFII system did not come true. This article also indirectly proves that China’s securities market is still not a semistrong-formefficiency one for various reasons. According to the conclusions in this article, we put forward some corresponding policy recommendations:Firstly, carry out the QFII system steadfastly and gradually; secondly, raise the investors’ quality and reduce information-processing irrational behavior and biases; thirdly, improve China’s QFII system, strengthen the guidance and super vision of QFII investment.