Research On The Risk Measurement Of China S Securities Market Influenced By The QFII Development

In 2003,China estblished the qualified foreign institutional investor regime,as a transitional regime arrangement for the opening of securities market.By 2018,the QFII regime for 15 years,during which lead the foreign institutional investors into the securities market in our country has experienced more policy changes,QFII funds produced important influence to our country stock market volatility,and produce uncertain risks influence the stability of the securities market,based on which this paper made a deep study in this respect.First,through the comparative analysis of QFII system in regional development level of different countries and regions such as South Korea,India's international experience.And what degree of financial risk is caused by QFII funds.This paper reviews the evolution history and characteristics of China's QFII regime,and analyzes the role and risk of the system to China's capital market.To solve the problem of volatility and risk measure,the VAR-GARCH model,VaR risk measurement model,measures the QFII funds after the introduction of QFII system in China on the csi 300 index as the benchmark of a-share market yield level of risk,analysis of QFII funds on the fluctuation of stock index returns.Finally,according to the result of empirical analysis and the principles underlying the development of capital market in our country put forward the corresponding policy recommendations.The results show that the yield of csi 300 index is different from the marginal effect of QFII quota and a-share market liquidity.Second,QFII has little impact on the marginal effect of yield in China's securities market.Third,the QFII investment quota has a positive fluctuation agglomeration effect on the fluctuation of yield,and the risk of this spillover effect is greater than the turnover rate.Fourth,the csi 300 index yield and the QFII investment quota dynamic correlation coefficient level is low.The yield on QFII investment quota flexibility also presents a lower level.