金融开放背景下QFⅡ投资对中国资本市场信息效率影响研究——基于QFⅡ与国内机构投资者相互影响的视角

Research on the impact of QFⅡ on the information efficiency of China’s capital market under the background of financial openness——based on the perspective of interaction between QFⅡ and domestic institutional investors

QFⅡ投资是中国资本市场的组成部分。QFⅡ投资行为与国内投资者相互影响,共同推进资本市场效率建设。本文运用面板数据、格兰杰因果检验和VAR模型对其进行实证分析。实证结果显示:(1)QFⅡ能够提高中国股票市场信息效率,但QFⅡ与国内机构投资者共同持仓上市公司时不能提高股票市场信息效率;考虑到中国资本市场开放的事实,在开放背景下国内机构投资者与QFⅡ相互影响,渐进式推进着资本市场效率建设。(2)QFⅡ的投资行为确实影响国内机构投资者的持仓;反之,国内机构投资者对QFⅡ的持仓行为影响不显著。基于上述研究结论,本文提出在进一步推进资本市场对外开放过程中,既要不断实现价值发现,又要防范风险,让国内机构投资者承担起更多的资本市场建设的责任,共同推进资本市场发展等政策建议。

QFⅡ is a part of China’s capital market, The interaction between QFⅡ and domestic investors,We should work together to promote the construction of capital market efficiency. In this paper, the panel data,Granger causality test and VAR model are used to analyze it. The empirical results show that:(1) QFⅡ can improve the information efficiency of China’s stock market, but QFⅡ and domestic institutions are different,The information efficiency of stock market can not be improved when investors hold joint positions in listed companies;Considering the fact that China’s capital market is open,Under the background of opening up, domestic institutional investors and QFⅡ interact with each other and gradually promote the construction of capital market efficiency.( 2)The investment behavior of QFⅡ does affect the position of domestic institutional investors;On the contrary, domestic institutional investors have not an impact on QFⅡ’s position behavior. Based on the above research conclusions, this paper proposes that in the process of further promoting the opening of the capital market, we should not only continuously realize the value discovery, but also guard against risks, so that domestic institutional investors can take more responsibility for the construction of the capital market and jointly promote the development of the capital market,The market development and other policy recommendations.