A股市场的QFII效应研究——来自指数收益率的垂直视角考察

Study on the Performance of QFII in A-share Markets——Based on the Exploration of Index Revenue Rate from Vertical Perspective

对中国股市的QFII制度效应,国内的文献主要通过对国内投资同行(尤其是基金)的交易行为和投资对象(上市公司)的内外治理影响进行总量研究,基本上着眼于水平视角。本文在建立相关概念的基础上,基于沪深A股市场的指数收益率变化,计量了QFII对中国股市垂直效应依次推进的三个层次,实证得出的结论分别为负的一定的审批政策效应、正的微弱的资金数量效应和负的比较显著的策略溢出效应,据此给出了适度加大QFII的资金审批额度、恰当改进股票投资税收政策和完善信息披露机制的监管改进建议。

On the part of QFII institutional influence in Chinese stock market,with a view to horizontal angles,domestic scholars mainly gave a total study to native investing partners＇（especial funds） trading behavior and internal and external management of investingtargets（listed company）.On the base of establishing concepts and changes of exponential probability in Chinese A-share markets,this paper calculates propulsive three stages one by one that QFII produces vertical performance to Chinese stock markets,and then gets some conclusions： some negative effect of approved policy,weakly positive effect of capital quantity and significant negative effect of exceeded strategy.On that basis,this paper gives some suggestion： moderately increaseing approved QFII＇s capital amount,felicitously improving tax policy of stock investment and perfecting supervision on infornation disclosure mechanism.