QFII在中国A股市场交易策略的实证研究

An Empirical Study on the Trading Strategy of QFIIs in China's A-share Market

自从我国实施QFII制度以来,随着QFII投资额度的增加,QFII在我国A股市场的影响力也越来越强。本文通过改进的GTW模型,选择2004年三季度至2011年一季度作为研究区间,对QFII在中国A股市场的交易策略进行实证研究。结果显示,在这一时期,84.85%的QFII采取了惯性交易策略;在指数上涨阶段QFII的惯性交易策略有所增强,而在指数下跌阶段QFII的惯性策略有所减弱,有时甚至采取反转交易策略。

Since China's implementation of the QFII system,QFIIs' influence in Chinese mainland stock market has been growing with the increasing of QFIIs' investment quota.In this paper,we use the amended GTW model based on the data from 2004Q3 to 2011Q1 to study the trading strategy of QFIIs in China's A-share market.Empirical tests show that in this period,84.85% of QFIIs use momentum trading.When the index climbs,QFIIs are inclined to enhance momentum trading;while when the index descends,QFIIs's momentum trading weakens,and sometimes they change their strategy to contrarian trading.