| Qualified Foreign Institutional Investor,QFII in short,is a capital market system introduced by the under developed capital markets from the developed capital markets.lt is the first step of opening their capital markets to international markets of these countries or areas.China got QFII in July 9,2003.QFII can bring in advanced investing experience which could influence our coutry's investors and optimize the investors structure.And also it can improve the investors'professional ability involved in the stock market.Its final object is to stable our country's stock market.Twelve years have past since we firt bring in QFII. So did it stable the stock market as expected? For this question,the related literature is rare. This article analyze this question empirically by using the data about QFII from 2003 to 2015. And I get the conclusion that QFII did not stable China's stock market obviously in bull market,but it stabled the stock market obviously in bear market and other market conditions except bull market. Increasing the proportion of QFII is conducive to the stability of the stock market as a whole.The existed literatures research QFII's influence to the stock market's volatility are rare. And the existed literatures are almost about the volatility of stock index of Shanghai and Shenzhen. And their conclusions are all not increasing the volatility. Did the QFII stable the stock market volatility? Their conclutions can not provide evidence. This kind of result is in expectation because the scale of QFII's shareholdings to the whole China's stock market are so small. Its influence can not reflect obviously when researched like that. According to the QFII's industry shareholdings data analysing,QFII's shareholdings focus on some important industries and the proportions of other industries are very small. So the research on QFII's influence on the volatility of stock index of Shanghai and Shenzhen is not the best. This article research QFII's influence on the volatility of stock market from the standpoint of industries. The conclusion from that is more accurate. There were quite little literatures about researching this question from the standpoint of industries. The excisted article about that was so early that the scale of QFII's shareholdings is too small and its influence is not obvious. Its conclution was not accurate enough. What's more,these articles were not considering the influence of other factors such as bull market and bear market.This article research the question from the industry standpoint solve those two problem in the former literatures. First,the time span of data is twelve years and the influence of QFII can reflect obviously. Seconed,this article considering the other influence factors such as the domestic investors' trading volume,the bull market factor and bear market factor. So this article's result is more accurate. At last,the article researchs the impact to volativity when increasing the proportions of QFII's shareholdings by the model of SAVR. This makes the conclusion more reliable.Next I will show the artcile's content,the research method and the innovation.Through the industry analyses,I find that QFII's shareholdings concentrate on some industries. The former five industies are monetary and financial industry, air transportation industry, electrical machinery and equipment manufacturing industry, software and information service industry and beverage manufacturing industry. So this article has an empirical analyzing on these five industies on the question how QFII influences the stock market's volatility.In the empirical analyzing,this article combines the econometric model and events to research. Increasing QFII capital volume every time is set as one event. I will research the stock market's volatility afer every event. In fact, Increasing QFII capital volume means increasing its shareholdings proportions.In the econometric model,I set the dummy variables to represent the events. And judging the influence by the dummy variables'coefficient.The article use the heavy industies index return rate volatility as the stock market's volatility. And using the GARCH family model to fit the volatility. Because GARCH model itself can not fit the return rate volatility's asymmetry. So this article use TGARCH model which can fit that. What's more,the return rate is sharp peak and heavy tail which means it does not obey normal distribution. The return rate's residual is got from return rate by linear transformation.So its not obey normal distribution as well. The article assumes the return rate's residual obey GED distribution. The GED distribution can fit the sharp peak and heavy tail very well. After that,the econometric model is set well. The innovation is in the model. And also the article set a submodel which reflect the influence of bull market and bear market factors. The article gets the conclusion that QFII have no obvious influence on the stock market in bull market,but it have obvious influence in bear market and other market conditions except bull market.In the second empirical part,the article set a SVAR model. This is the first time using this model to research QFII's influence. And it is the article's innovation. From this part the article gets the conclusion that QFII stable the volatility after it increasing its shareholding proportions.In conclusion, this article research the QFII's influence on volatility by innovation on econometric models and research methods. The conclusions provide evidence for regulator to make accurate policies. |
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