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  本文選題：QFII　切入點：中國股票市場　出處：《南京師范大學》2012年碩士論文　論文類型：學位論文

【摘要】：2003年我國引入實施QFII制度(Qualified Foreign Institutional Investors)即“合格境外機構投資者制度”,作為資本項目開放的過渡性制度安排。截至2011年,QFII制度施行了有八年,期間有過四次重大的漸進式放寬調整。每一次政策放寬對我國股市的波動性所產生的影響,正是本文的研究對象。 本文通過GARCH模型,運用事件分析法,引入虛擬變量,針對八年來QFII制度漸進式開放的四個事件進行實證分析。其中,四個事件分別是：第一次2003年7月,QFII制度的引入實施；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QFII總額度進一步擴容到300億美元；第四次2009年10月10日,將單家QFII機構投資額度由8億美元上調到10億美元,同時對基金類型QFII機構的本金鎖定期縮短至3個月。同時,在實證分析中,引入股票交易量作為控制變量來衡量在QFII制度下國內其他機構和散戶投資者的交易量對股票指數(shù)收益率波動的邊際影響。 通過短期和長期相結合的實證分析,本文得出結論,即隨著QFII制度的漸進式實施,若不考慮金融危機的干擾,其對中國股市的正面影響力不斷增強,對中國滬深股市的波動性的約束性作用逐漸顯現(xiàn)。這種漸進式放寬的QFII政策的實施,不斷擴大QFII在中國股票市場的比重,帶動了中國本土機構投資者的壯大,也將投資績優(yōu)股、重視上市公司分紅、關注企業(yè)的盈利能力和長遠發(fā)展的理性投資理念帶給了中國投資者。在此基礎上,本文提出了四點政策建議,即繼續(xù)堅定不移推進漸進式QFII制度、進一步放寬QFII政策、進一步加快我國資本市場結構建設、大力培育國內機構投資者,使資本市場真正成為為實體經濟提供定價、融資,為個人、機構投資者提供分享我國經濟增長成果的平臺。
[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.
【學位授予單位】：南京師范大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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本文編號：1607376