QFII对证券市场行业收益波动率影响研究

The Influence of QFII on the Rate of Undulation of Industry Benefits on the Stock Market

该文选取QFII进入我国A股市场后全阶段重仓持股的六大行业2002年7月1日至2008年7月31日之间的日收盘价,以研究QFII对六大行业波动收益率的影响。GARCH(1,1)模型和EGARCH(1,1)模型检验结果显示,在QFII刚进入时,QFII投资没有引起行业收益波动率的增加。分析结果显示,即使在2005年第四季度股改开始后,除金属、非金属和金融保险业外,QFII投资没有引起行业波动率增加,而在2007年12月QFII批准投资额度增加后,行业收益波动率增加。

This paper uses stock index of six industries that QFII prefer to hold from 2002 to 2008 to make empirical research to study the effect QFII has on stock return volatility of six industries.The result of GARCH and EGARCH model shows that when QFII entrance to stock market does not result in the increase of volatility of six industry at the beginning.However,after the beginning of stock spilt reform in 2005,QFII does not cause the increase of industry volatility besides metal and financial indusrty.After December of 2007,QFII result in the increase of industry volatility.