The Empirical Research On The Impact Of QFâ…¡ On Chinese

QFII system play an important role in a country or region to achieve free and open capital markets, and play an important role in order to promote the healthy development of China’s capital market, China formally introduced the QFII system in2003.This paper studies the impact of QFII on the volatility of our stock market were explored on two aspects, one is from the QFII on the Shanghai index gains fluctuations, and the other is from the effects of volatility on heavy industry gains to explore. Studies showed that the Shanghai index has a volatility persistence and the duration of clusters, and QFII heavily loaded industries have volatility asymmetry characteristics.QFII holdings of the industry have obvious characteristics of wheeled industry is also more frequent, these will have an impact on revenue and earnings volatility. Meanwhile, QFII investment will always be affected by external factors, changes by external factors, China’s stock market will play a more significant role in the external market.In the empirical research, this paper establishes asymmetric GARCH model and GARCH model, using event study analysis and impact earnings volatility on China QFII A-share opening, followed by the introduction of split share structure reform of the incident by the two dummy variables analysis, revenue and earnings of QFII on China’s A-share market fluctuations have a more clear understanding, and further improve the investment environment analysis of the good and the QFII system can play a positive role in promoting.Research shows that during short-term QFII stable stock market role is not obvious, but through long-term consideration, QFII does can up to stable market of role, and as QFII open of constantly in-depth, its stable market of role also played of more filling copies; shareholder structure reform on stable market up to has positive promoting role, so strengthened a country investment environment of need and system construction of need. The Shanghai Composite Index has gathered and volatility persistence. Introduction of QFII system makes China’s A share market volatility to increase slightly, but not significantly, indicating QFII A-share funds into the A-share market is relatively whole still relatively small, although the QFII may bring herding fluctuations on the A-share market yields increasing role to play, and the IPO constantly reboot, also partially offset the impact in terms of QFII A-share funds, so the QFII on China’s A-share market volatility role is still limited. QFII enter China’s securities market1-2 years, you can not have a positive effect on the rise in the sector index. After the share reform, improve the QFII investment enthusiasm of A country markets, in addition to non-metallic minerals, rail transport and air transport stocks outside (probably with macroeconomic and industry characteristics and its own related), QFII yields big industry has heavily loaded more significantly improved. QFII after entering China’s securities market, in addition to non-metallic mineral products industry and the pharmaceutical industry, the volatility of earnings in other industries were no significant changes. Implementation of the share reform of listed companies to enhance the quality, improve the corporate governance structure plays an extremely important role. From the previous analysis was split share structure reform to make more healthy development of a country’s stock market, to perfect the governance structure, which can attract more QFII A-share market to enter, creating a more favorable to play the role of QFII external conditions, the reform and development of the securities market needs and to match the dynamic development of the QFII system, the only way to form a positive interaction.This article suggest, gradually relax the QFII investment quota in China’s capital market is too demanding, further opening of China’s financial markets; increase our stock market system construction, and optimize the external environment QFII system implementation. However, QFII investors to improve a country’s investment philosophy requires a long time, in the short term is difficult to achieve significant results; course, QFII itself is for profit, but also often occur speculation. Lack of regulatory system, improve the QFⅡ system greatly increases the possibility of bypassing the regulators, increasing the risk of a country’s capital market. By comparing before and after the introduction of QFII stock price volatility indicate that after the introduction of QFII a country’s stock market volatility will increase, and the market for an external shock attenuation coefficient increases. QFII deduction for the negative impact on the stock market, we should vigorously develop our institutional investors, improve laws and regulations to develop and strengthen our capital market supervision and information disclosure transparency, strengthen the structure optimization of QFII encourage financial innovation, while actively development of financial derivatives, better play the positive impact of QFII make more healthy development of China’s capital markets.QFII its long-term vision, international perspective, the concept of value investing is one of the reasons for China’s A shares after the share reform revenue growth, but as of now the market value of positions for foreign institutional investors, QFII on China’s stock market the role is very limited, but the impact of its investment philosophy far beyond their size, QFII Pat popular fundamental analysis method for speculative atmosphere was thicker domestic a-share market, its positive effect is not evident in the cover, more and more institutional investors to follow suit QFⅡ’s "fundamental analysis" approach.