QFII持股缓解了股价延迟吗?--基于我国A股上市公司的经验证据

Does QFII Holds Alleviate the Stock Price Delay?--Empirical Evidence Based on A-share Listed Companies in China

以2010—2018年我国A股上市公司为研究样本,实证检验了QFII持股对股价延迟的影响。研究发现,QFII持股与股价延迟呈显著负相关关系。截面异质性检验表明,QFII长期持股、增持、维持以及持股国有企业时,对股价延迟的缓解作用更为显著。机制检验发现,QFII持股通过改善上市公司信息披露质量、提高股票流动性进而缓解股价延迟。上述研究结论表明,QFII作为我国资本市场上的重要参与者,在强化公司治理、提高股票市场流动性方面发挥了重要的作用。因此,积极鼓励并引导QFII持股,充分发挥QFII的治理功能,将有助于改善我国上市公司治理与信息环境,提高我国资本市场流动性水平,对提升我国资本市场定价效率、促进资本市场健康发展也大有裨益。

Taking A-share listed companies in China from 2010 to 2018 as research samples,this paper empirically tests the impact of QFII holdings on stock price delay.The results show that there is a significant negative correlation between QFII holdings and stock price delay.After alleviating the endogeneity,the conclusion is still valid,which indicates that there is a relatively stable causal relationship between QFII shareholding and stock price delay.The sub sample study finds that QFII long-term holding,increasing holding,maintaining and holding state-owned enterprises have more significant mitigation effect on stock price delay.Mechanism test shows that QFII shares can alleviate the delay of stock price by improving the quality of information disclosure and stock liquidity.The above conclusions show that QFII,as an important component of institutional investors in China’s capital market,plays an important role in external governance and improvement of the liquidity of stock market.Therefore,active encouragement and guide of QFII shareholding and full play of the governance function of QFII will help improve the governance and information environment of China’s listed companies,improve the liquidity level of China’s capital market and the healthy development of the capital market.