Anchoring Effect And QFIIs’ Momentum Trading Behavior

In recent year, QFII system is developing very fast in China because of the global developing trend. However, some scholars think that momentum trading behavior of QFII is inconsistent with rational investment philosophy and cannot improve the distribution of resources in Chinese capital market. Therefore, based on behavioral finance theory and efficient market theory, this article firstly considers the ownership of investor as an “anchor”, and study its anchoring effect on the momentum and momentum trading behavior and its mechanism. Then use several fixed effect models and all the China stock market A shares’ quarter panel data, from 2005 to 2014, to make an empirical test to the momentum of the stocks invested by QFII and the momentum trading behavior of QFII. As a result, four conclusions are drew below. First, on the whole, the momentum effect does exist in China stock market. Secondly, the momentum trading behavior of QFII is an arbitrage for obtaining the excess earnings of the momentum. The nature of such behavior can promote the pricing efficiency of stock market and accords with our original intention of introducing QFII. Thirdly, the anchoring effect interferes with QFII promoting the pricing efficiency of stock market. Finally, the anchoring effect can strengthen the momentum of the stocks invested by QFII.This study may make some supplements for the development of related momentum theories, may make some new attempts for the application of anchoring effect in financial markets, and also may provide some policy implications for the improvement of the capital market efficiency of our country.