境外机构投资者持股、公司业绩与股市质量

QFII Shareholdings,Corporate Performance,and the Stock Market Quality

选取2009-2013年末QFII持有的沪市A股作为研究样本,运用Stata12、Excel软件,通过统计描述、多元回归、虚拟变量回归,分析QFII持股与公司业绩及其规模等因素对股票市场质量的影响。实证研究发现,我国QFII所持股票业绩优秀,以中大盘股票为主,投资较为理性;QFII持股增强了股票的流动性,同时降低了股价的波动性,从而有利于股价稳定;QFII持股对中市值股票的市场质量影响最大,其次为小市值股和大市值股。我国应当继续扩大QFII队伍,鼓励其参与上市公司治理活动和挖掘有潜力的小盘成长股,并允许优秀的QFII在中国境内外发行公募基金或其他理财产品。

Selecting QFII Shanghai A shares between 2009 and 2013 as samples,using Stata12,and Excel,this paper studies the effect of QFII shareholdings,corporate performance,firm size,and other factors on the stock market quality through descriptive statistics,multivariate regression,and dummy variable regression. Empirical studies find that QFII shareholdings( 1) are of excellent performance,more medium and large stocks,and rational investment;( 2) enhance liquidity of the stock and reduce the volatility of stock prices,which helps stabilize the stock price;( 3) have the greatest influence on the quality of the medium-sized shares,followed by small and large shares. China should continue to expand QFII shareholdings,encourage QFII to participate in the corporate governance of listed companies to find out the potential small-cap growing stocks,and allow excellent QFII to raise funds or other financial products.