论文部分内容阅读
QFII投资中国股市具有明显的行业集中特点,从行业角度研究QFII对中国股市的影响更具合理性。本文基于GARCH族模型,对QFII进入我国股市以来的重仓股行业的指数收益率及其波动性水平进行实证分析,以客观评价QFII制度实施以来的运作绩效。通过实证分析得出结论:在我国证券市场向QFII开放的初期,QFII的投资并未对我国股市的行业指数产生利好效应,但由于2005年股权分置改革的稳步推进,QFII对一些行业的积极重仓使得这些行业的指数收益率水平有明显的上升;另一方面,QFII的进入并不会增大行业收益率的波动性。
QFII investment in China’s stock market has obvious characteristics of industry concentration, from a industry perspective QFII on the Chinese stock market more reasonable. Based on the GARCH family model, this paper empirically analyzes the index return and its volatility of the Awkward Stocks since QFII entered the stock market of our country to objectively appraise the operational performance since the QFII system was implemented. Through empirical analysis, we conclude that at the initial stage of our country’s securities market opening up to QFII, QFII’s investment did not have a positive effect on the industry index of our country’s stock market. However, due to the steady progress of share-trading reform in 2005, QFII’s positive response to some industries Shigekura so that these industries index rate of return has significantly increased; the other hand, QFII entry does not increase the volatility of the industry rate of return.