合格境外机构投资者持股与中国资本市场有效性

Does QFII Improve the Effectiveness of China′s Capital Market?

本文基于2006~2019年A股上市公司的数据验证合格境外机构投资者(QFII)对中国资本市场有效性的影响,并用股价信息含量来衡量资本市场有效性。实证研究发现:QFII显著提高了上市公司的股价信息含量,且更能提高公司短期的股价信息含量,对长期的股价信息含量的影响有所减弱;QFII对股价信息含量的影响作用在国有企业及市场化程度较低地区的样本中更加明显,表明QFII持股可以部分替代所有制、市场化程度对股价信息含量的影响作用;进一步,在使用工具变量法、基于倾向得分匹配的双重差分法和安慰剂检验来缓解QFII与股价信息含量之间的内生性,以及通过更换QFII和股价信息含量的衡量指标、改变样本区间等一系列稳健性检验后,QFII仍能显著提高股价信息含量。最后,QFII能够通过主动型持股发挥其监督作用以及提升公司会计信息质量等途径来提高股价信息含量,表明QFII有助于改善公司信息披露质量,具有重要的监督治理功能,这为QFII与中国资本市场有效性的研究提供了经验证据,也为监管部门提供了新的政策借鉴。

Based on a set data of China′s A-share listed firms from 2006 to 2019, and using the stock price informativeness to measure the effectiveness of the capital market, this paper investigates the impact of qualified foreign institutional investors(QFⅡ) on stock price informativeness. The result shows that QFⅡ holdings significantly increase stock price informativeness, and QFⅡ holdings significantly increase stock price informativeness of the short-term(measured by the company′s earnings in the next period). However, the impact of the long-term stock price informativeness(measured by the future two-year and three-year company income) is weakened;the effects of QFⅡ on stock price informativeness are more obvious in state-owned enterprises and regions with a weak legal environment. The results suggest that QFⅡ can substitute ownership and a legal environment for enhancing stock price informativeness. Further, after controlling possible endogeneity problems with using the instrumental variable method, a Difference-in-Difference approach, and placebo test based on propensity score matching, and using alternative measures of QFⅡ and stock price informativeness, different sample observation periods, a series of robustness tests, QFⅡ shareholdings still significantly increase stock price informativeness. Finally, QFⅡ can increase stock price informativeness through channels such as the monitoring played by active institutional investors and improve the quality of accounting information. The result shows that QFⅡ is helpful to improve the quality of corporate information disclosure and plays an important role in supervision and governance, which provides the new empirical evidence for QFⅡ and the effectiveness of China′s capital market, and also provides the new policy reference for regulatory authorities.