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自2002年11月5日,中国证监会和中国人民银行联合颁布《合格境外机构投资者证券管理暂行办法》,到现在,合格境外机构投资者(Qualified Foreign Institational Invertors,简称QFⅡ)制度在我国实行已经有五年多时间,这些合格境外投资者也随着时间的推移正在逐步地深入到我国股票市场,那么QFⅡ对我国股票市场究竟带来了怎样的影响?本文拟从股票市场整体价格波动的角度入手,根据标志QFⅡ逐步进入我国证券市场的典型事件,利用GARCH类模型及事件分析法,试图刻画关于QFⅡ各事件发生前后我国股票市场价格波动的变化,以揭示QFⅡ制度给我国股票市场的波动所带来的影响。
Since November 5, 2002, the China Securities Regulatory Commission and the People’s Bank of China jointly promulgated the Interim Measures for the Administration of Securities of Qualified Foreign Institutional Investors. Up till now, the Qualified Foreign Institational Invertors (QFII) system has been implemented in our country It has been more than five years that these qualified foreign investors are gradually penetrating into the stock market of our country over time. What kind of impact does QFII bring to the stock market in our country? According to the typical events of the sign QFII gradually entering the stock market in our country, this paper attempts to use the GARCH class model and event analysis method to describe the changes of the stock market price volatility in China before and after the QFII events so as to reveal the volatility of the QFII system to the stock market of our country The impact.