本文選題：QFII　切入點(diǎn)：中國(guó)股票市場(chǎng)　出處：《南京師范大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：2003年我國(guó)引入實(shí)施QFII制度(Qualified Foreign Institutional Investors)即“合格境外機(jī)構(gòu)投資者制度”,作為資本項(xiàng)目開(kāi)放的過(guò)渡性制度安排。截至2011年,QFII制度施行了有八年,期間有過(guò)四次重大的漸進(jìn)式放寬調(diào)整。每一次政策放寬對(duì)我國(guó)股市的波動(dòng)性所產(chǎn)生的影響,正是本文的研究對(duì)象。 本文通過(guò)GARCH模型,運(yùn)用事件分析法,引入虛擬變量,針對(duì)八年來(lái)QFII制度漸進(jìn)式開(kāi)放的四個(gè)事件進(jìn)行實(shí)證分析。其中,四個(gè)事件分別是：第一次2003年7月,QFII制度的引入實(shí)施；第二次2005年7月將QFII的總額度由40億美元提升到100億美元；第三次2007年12月9日,對(duì)QFII總額度進(jìn)一步擴(kuò)容到300億美元；第四次2009年10月10日,將單家QFII機(jī)構(gòu)投資額度由8億美元上調(diào)到10億美元,同時(shí)對(duì)基金類型QFII機(jī)構(gòu)的本金鎖定期縮短至3個(gè)月。同時(shí),在實(shí)證分析中,引入股票交易量作為控制變量來(lái)衡量在QFII制度下國(guó)內(nèi)其他機(jī)構(gòu)和散戶投資者的交易量對(duì)股票指數(shù)收益率波動(dòng)的邊際影響。 通過(guò)短期和長(zhǎng)期相結(jié)合的實(shí)證分析,本文得出結(jié)論,即隨著QFII制度的漸進(jìn)式實(shí)施,若不考慮金融危機(jī)的干擾,其對(duì)中國(guó)股市的正面影響力不斷增強(qiáng),對(duì)中國(guó)滬深股市的波動(dòng)性的約束性作用逐漸顯現(xiàn)。這種漸進(jìn)式放寬的QFII政策的實(shí)施,不斷擴(kuò)大QFII在中國(guó)股票市場(chǎng)的比重,帶動(dòng)了中國(guó)本土機(jī)構(gòu)投資者的壯大,也將投資績(jī)優(yōu)股、重視上市公司分紅、關(guān)注企業(yè)的盈利能力和長(zhǎng)遠(yuǎn)發(fā)展的理性投資理念帶給了中國(guó)投資者。在此基礎(chǔ)上,本文提出了四點(diǎn)政策建議,即繼續(xù)堅(jiān)定不移推進(jìn)漸進(jìn)式QFII制度、進(jìn)一步放寬QFII政策、進(jìn)一步加快我國(guó)資本市場(chǎng)結(jié)構(gòu)建設(shè)、大力培育國(guó)內(nèi)機(jī)構(gòu)投資者,使資本市場(chǎng)真正成為為實(shí)體經(jīng)濟(jì)提供定價(jià)、融資,為個(gè)人、機(jī)構(gòu)投資者提供分享我國(guó)經(jīng)濟(jì)增長(zhǎng)成果的平臺(tái)。
[Abstract]:In 2003, China introduced the qualified Foreign Institutional investors system (QFII) as a transitional institutional arrangement for the opening of capital account. By 2011, the QFII system had been implemented for eight years. There have been four major gradual relaxation adjustments during this period. The impact of each policy relaxation on the volatility of China's stock market is the object of this paper. Based on the GARCH model and the event analysis method, this paper makes an empirical analysis on the four events of the gradual opening of the QFII system in the past eight years. The four events are as follows: first, the introduction and implementation of the QFII system in July 2003; On July 2005, the total amount of QFII was increased from $4 billion to $10 billion; on December 9th 2007, it was further expanded to $30 billion; and on October 10th 2009, 4th times, The investment quota of a single QFII institution was increased from $800 million to $1 billion, while the principal locking period of the fund type QFII institution was shortened to three months. Stock trading volume is introduced as a controlling variable to measure the marginal influence of trading volume of other domestic institutions and retail investors on the volatility of stock index returns under the QFII system. Through the combination of short-term and long-term empirical analysis, this paper concludes that with the gradual implementation of the QFII system, if the financial crisis is not taken into account, its positive influence on the Chinese stock market is increasing. The binding effect on the volatility of China's Shanghai and Shenzhen stock markets has gradually become apparent. The implementation of this gradual relaxation of the QFII policy has continuously increased the proportion of QFII in China's stock market, which has led to the growth of local institutional investors in China and will also invest in high-grade shares. Paying attention to the dividends of listed companies, paying attention to the profitability of enterprises and the rational investment concept of long-term development have brought Chinese investors. On this basis, this paper puts forward four policy recommendations, that is, to continue to unswervingly promote the gradual QFII system. Further relaxing the QFII policy, further speeding up the construction of China's capital market structure, vigorously cultivating domestic institutional investors, and making the capital market truly become the real economy to provide pricing, financing, for the individual, Institutional investors provide a platform for sharing the fruits of our country's economic growth.
【學(xué)位授予單位】：南京師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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