Research On Market Reaction Of Listed Companies' QFII Shareholding Changes

QFII is the abbreviation of Qualified Foreign Institutional Investors.With the implementation of the inter-generational system of QFII,Shanghai Stock Connect and Shenzhen Stock Connect,the overseas investors in China's securities market have gradually established,and their position in the A-share market is increasing.As an overseas investor,QFII has become a force with great influence and vitality in China's capital market,and its investment trend has always been the focus of market attention.Studying the market reaction caused by QFII shareholding change is helpful to improve the theoretical research on the impact of QFII investment behavior on the market,promote the development of QFII system and protect the interests of small and medium-sized investors.Based on the review of the relevant literature on the impact of QFII system and QFII investment behavior on the securities market,the QFII system,QFII investment concept and market reaction theory were analyzed.The empirical research part establishes the relationship between QFII shareholding changes and excess stock returns from the perspective of information decision usefulness by combining signal transmission theory and efficient market theory,and puts forward the hypothesis accordingly.The samples from the first quarter of 2014 to the fourth quarter of 2017 were selected,and the overall a-share market and different types of a-share market were empirically analyzed through the event analysis method.The empirical results show that after the QFII shareholding information is disclosed in the listed company's financial statement,the QFII shareholding change ratio and the cumulative excess return rate have a positive correlation in the short term;the listed company that is enlarged by QFII and has a larger shareholding,It has a higher cumulative excess return rate in the short term;the listed company reduced by QFII has a lower cumulative excess return rate in the short term,but the impact of the QFII shareholding size on the securities market at this time is not significant.In different types of A-share market: 1.In the Shanghai A-share market,the impact of QFII shareholding changes on the market is more consistent with the overall situation of A stock market.The increase will bring positive returns,and the reduction will bring negative returns.QFII shareholding information has no significant impact on the market;2.In the A-share market of Shenzhen Stock Exchange,the impact of QFII shareholding change information and shareholding information on the market is not significant;3.In the GEM market,QFII shareholding changes Together with the size of shareholding,it affects the market.When QFII increases its holdings,the higher the total number of shares outstanding,the higher the excess income of the listed company.The innovation of this paper mainly has the following two points: first,the innovation of research Angle,the change of QFII shareholding is measured by the proportion of the change of buying or selling a certain stock to the total number of outstanding shares of the listed company,reflecting the dynamic behavior of QFII investment.From the dynamic perspective of QFII shareholding changes and further combined with the static perspective of QFII holdings,the market reaction is expressed by the cumulative excess return rate in different time periods after the financial statements are disclosed,so as to study the immediate market effect of QFII investment information and Its duration.Second,the innovation of the impact mechanism,this paper from the perspective of useful information in the information view,combined with effective market theory,signal transmission theory and other theories innovative establish the impact mechanism between QFII shareholding changes and stock excess returns.Five different window periods are divided before and after the financial statement disclosure date,and the samples in each window period are classified into different dimensions.Therefore,it more specifically shows the income generated by the overall A-share market and different types of A-share market after the disclosure of QFII shareholding information disclosure,in order to propose some new suggestions for the construction of QFII system and investment decisions of domestic investors.