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Herd Behavior of QFII in Chinese Stock Market

Author: XiaoYingChun
Tutor: LiuZiLan
School: Hunan Normal University
Course: Industrial Economics
Keywords: Qualified Foreign Institutional Investors Herd behavior LSV model QFII
CLC: F832.51
Type: Master's thesis
Year: 2008
Downloads: 282
Quote: 6
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Abstract


May 26, 2003 Swiss Bank Co., Ltd., Nomura Securities Co., Ltd. two Qualified Foreign Institutional Investor (QFII) approved by the China Securities Regulatory Commission, as of October 26, 2006, a total of 52 qualified foreign institutional QFII status, has approved foreign exchange quota of $ 9.995 billion, which also means that the first phase of the $ 10 billion the amount of investment has basically run out. Herd behavior is one of the \The birth of behavioral finance is to open up the paths which herd behavior, herd behavior research has become an important branch of modern behavioral finance. Herd behavior as a universal phenomenon has been on the stock market have a significant impact, especially for this transition economies of China's emerging stock markets. With the constant expansion of foreign institutional investors, their investment behavior of the growing influence of China's securities market, thus its investment behavior flock behavior research has theoretical and guiding significance. This article, based on the summary of the latest theoretical and empirical research on the herd behavior of financial markets, combined with the reality of China's stock market, to use LSV classic model for each quarter of China's A-share market to qualified foreign institutional investors trading sheep The group conduct an empirical test. The results show that there is a significant herd behavior: the behavior of qualified foreign institutional investors to invest in China's A-share market. Grouping herd behavior based on the the stock sample data quarterly inspection: quarter herd behavior sometimes buy herd behavior than to sell the herd behavior, and sometimes the former will be less than the latter; And with the market index. increased each quarter to buy the value of herd behavior and to sell herd behavior value gap will increase; comparative analysis of the domestic and international investment funds herd behavior: herd behavior value is much higher than the domestic institutional investors the herd behavior is value; also higher than the value of the herd behavior of foreign mutual funds; value is close to China, Taiwan Province QFII herd behavior. Then article explores China's qualified foreign institutional investor herd behavior reasons: First, for the common value investing philosophy; common shared seeks profit, as well as R \u0026 D resources; and the third is the indirect impact of overseas stock index futures. Finally, the article proposed countermeasures to address the negative impact of China's QFII herd behavior.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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