An Empirical Research On Stock-Holding Preferences Of QFⅡ In Chinese A-Share Market

In order to realize gradually the capital market opening-up,China introduced QFII system in 2002.So far,the QFII system has been carried out for thirteen years.Having improved and perfected continually for thirteen years,QFII system has a greater influence on Chinese capital market.Under such background,the writer has made an emprical research on stock-holding preferences of QFII in Chinses A-share market.Not only will it provide some reference for institution investors and individual investors in our country,but also it provides decision-making basis for the supervision agencies to improve the efficiency of supervision.It is also good to probe the way of the capital market opening and grasp the rhythm,so as to realize China’s steady and orderly opening of the capital market.This paper attempts to find stock-holding preferences of QFII in chinese A-share market from multiple perspectives.On the basis of combing research results at home and abroad,this paper takes the Non-financial holdings held by QFII in Chinese A-share market as the research sample to research its stock-holding preferences from three perspectives including financial characteristics,corporate governance characteristics and market performance characteristics of listed companies.The main content of this paper includs the following three sections.Firstly,combing the literature research achievements and pointing out the necessity of further study combined with the purpose of this research.Secondly,analysing possible influence factors and the influence mechanism on stock-holding preferences of QFII.The paper introduces the related theories about stock-holding preferences of QFII,and then selects indicators of listed companies combined with the existing research results and availability of the data,and establishs the research hypotheses.Thirdly,establishing regression models to test stock-holding preferences of QFII in Chinese A-share market.With a quarter for an observation period,this paper selects the non-financial holdings held by the QFII in 13 observation periods as the research sample from the first quarter of 2012 to the first quarter of 2015.The explained variable for the empirical research is the QFII shareholding proportion transformed by Log.This paper chooses explanatory variables from various angles about listed companies including the total scale,profit ability,debt paying ability,development ability,equity expansion ability,operation ability,risk level,equity structure,market performance and so on.Then combining above empirical research with the research hypotheses,the writer analyses stock-holding preferences of QFII and gets the final conclusions.Empirical research of this paper finds out:from the perspective of the listed companies’ financial characteristics,QFII pay more attention to those listed companies with small assets,low financial risk,strong profit ability and equity expansion ability;from the perspective of listed companies’ corporate governance characteristics,QFII avoid holding those listed companies whose biggest shareholders hold a too high proportion;from the perspective of listed companies’ market performance characteristics,QFII prefer to choosing those listed companies with low price-to-book ratio and pay attention to risk control.The stock-holding preferences of QFII in Chinese A-share market reveal that QFII adhere to stable investment policies and that QFII don’t adhere to the value investment idea like in the foreign mature securities markets.Ultimately,The stock-holding preferences of QFII in Chinese A-share market depend on China’s current securities market environment,related systems,and the quality of listed companies,etc.In other words,it is determined by the realistic foundation of Chinese securities market.Only based on Chinese securities market reality can we really play the role of QFII.system,which is so-called" to forge iron,one must be strong".At the end of the paper,the writer summarizes research conclusions firstly and then points out the deficiencies and prospects about the research from two perspectives:the data and the research object classification.