Research On The Impact Of Qualified Foreign Institutional Investors On China's A-share Market

In the 1990 s,the establishment of Shanghai and Shenzhen stock exchanges marked the formal birth of China's securities market.Since then,China's stock market has been continuously improved and developed,becoming an important part of the capital market.In the process of capital market's development,the introduction of foreign institutional investors is an important step,China implemented a system of the qualified foreign institutional investors(QFII)in 2011,which allows qualified investors to invest in China's A-share market,also implemented Shanghai-Hong Kong Stock Connect system in 2014,which connects the mainland and Hong Kong stock market.The implementation of these measures has brought additional sources of funds to China's capital market and further enhanced the degree of opening-up.Considering that foreign institutional investors have become an indispensable part of China's stock market,it is necessary to study how the foreign institutional investors influence our stock market and the mutual influence between them and the characteristics of the stock market,then put forward policy suggestions for preventing possible financial risks and expanding the opening of the capital market.This paper first introduces the system of introducing foreign institutional investors in China,and examines the process of implementing the same policy in South Korea and Taiwan.Next,using event study method to make direct data comparison,the results show that after the introduction of measures,foreign institutions and individual stock holdings increased,and China's stock market became more associated with globe stock market.In the first part of the econometric analysis,GARCH model is established to explore how does different introducing measures influence volatility of stock market.The conclusion is that some measures will increase stock volatility,while others does not.In the second section,making the Shanghai 50 index data from 2007 to 2019 into vector autoregressive(VAR)model,after cointegration test,impulse response and variance analysis,we come to a conclusion: when investing in Chinese stock market,foreign institutional investors pay more attention to the the volatility of stock market,tend to invest on unpopular stock.when foreign institutional investors enter the market in our country,at first they have a little effect on the stability of the stock market,but in the long time these influence will disappear.Finally,in order to expand the opening of the securities market continuously and guard against risks brought by foreign institutional investors,this paper puts forward policy suggestions such as gradually opening up,strengthening supervision,maintaining a stable economic environment,preparing for future risks and exploring new method for enhancing opening-up.