来自不同国家(地区)QFII交易策略的比较研究

A Comparative Study of the Trading Strategies of QFIIs from Different Nations(Regions)

本文对来自不同国家(地区)QFII的交易策略进行了比较分析。从时间序列的变化情况上我们发现,来自欧洲和东亚的QFII在整体上采取惯性交易策略,但波动幅度很大,来自北美的QFII则更倾向于采取反转交易策略。从整体均值的比较中我们发现,我国市场上的QFII整体倾向于采用惯性交易策略,其中来自欧洲的QFII的惯性交易行为程度最大,来自东亚的QFII采用惯性交易策略的时间较长。本文还发现金融危机对QFII的交易策略产生了显著影响。根据上述发现本文提出了完善我国QFII制度的建议。

This paper makes a comparative analysis on the strategies of QFIIs coming from different nations（regions）. From the change of trading strategies in time series, we find that QFIIs from Europe and East Asia adopt momentum strategy for a longer time, and QFIIs from North America are more inclined to use contrarian strategy. From the comparison of the means, we find that QFIIs in China＇s market tend to use the momentum strategy as a whole; QFIIs from Europe use momentum strategy in the biggest degree and QFIIs from East Asia adopt momentum strategy for the longest period. We also find that Financial crisis has a significant impact on QFIIs＇ trading strategies. According to these fmdings, this paper makes some suggestions on improving Chinese QFII system.