合格的境外机构投资者制度对我国证券市场风险的影响分析——基于股权分置改革下的实证研究

An Analysis on the Influence of QFII on The Finance Risk in China’s Security Market——Based on the Empirical Analysis under the Reform of Non-tradable Shares

为了让国内金融市场逐渐与世界接轨,证监会在2003年推行了QFII(即合格的境外机构投资者制度)制度。而QFII对我国证券市场的风险究竟有何影响,尤其在股权分置改革后QFII对我国证券市场的风险会怎样变化是很值得研究的。本文利用了上证综合指数日收益率和深证成份股指数的日收益率数据,采用了GARCH(1,1)模型对收益率的波动性进行了研究。发现QFII无论是股权分置改革前还是股权分置改革后对我国证券市场风险的影响都较小,且在股改前后变化也不显著。

In 2003, CSRC （China Securities Regulatory Commission） carried out QFII so as to gear China＇ s financial market to the world. It is necessary to study how the QFII （Qualified Foreign Institutional Investors） influences the possible risk in the domestic security market, particularly after the reform of non-tradable shares. Based the data of daily Shanghai Composite Index return and daily Shenzhen Component Index return, the author uses the model of GARCH （ 1, 1 ） to analyze the volatility of the yield rate and finds that QFII has little effect on the risk in domestic security market whether before or after the reform of non-tradable shares and the variance of the effect is also not notable.