基于信息披露的QFII超额收益率与中小投资者保护

The Excess Return of QFII from the Angle of Information Disclosure and Protection of Small Investors

本文研究了QFII机构2007-2009年投资我国A股市场的超额收益率,静态分析结果表明QFII持股上市公司无法产生正的超额收益;动态分析结果表明QFII增仓上市公司可以产生显著为正的超额收益,而QFII减仓上市公司产生显著为负的超额收益。另外,通过问卷调查法获取中小投资者的投资弱点,从QFII机构信息披露的角度研究如何保护中小投资者利益,对证券监管部门规范QFII信息披露,引导中小投资者理性投资,以及保护中小投资者利益等方面均有一定的启示意义。

This paper studies the excess return of QFII in China＇s A share market from 2007 to 2009.Static analysis results show that QFII-holding listed companies cannot generate positive excess return.Dynamic analysis results show that QFII-increasing listed companies can have a significant positive excess return,while QFII-reducing listed companies have a significant negative excess return.In addition,this paper gets the weaknesses of small investors through questionnaires and studies how to protect small investors from the angle of information disclosure.Results of this study can help securities regulatory authorities regulate disclosure of information of QFII and guide rational investment of small investors in order to protect the interests of small investors.