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Research on the Influence of QFII System Upon Security Market

Author: XieZhengZuo
Tutor: LiZhiHui
School: Nankai University
Course: Finance
Keywords: QFII securities market GARCH comovement
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Type: PhD thesis
Year: 2012
Downloads: 42
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Abstract


In December2002, the formal implementation of the QFII system, the QFII isthe abbreviation of the Qualified Foreign Institutional Investors, the QFII usuallyrefers to insurance, banks, securities dealers, and other investment institutions,including mutual funds, pension funds, government funds and charitable funds.This paper uses qualitative and quantitative analysis of various aspects of theQFII system on the Chinese stock market effect. The QFII system effects, includingto improve China’s international market correlation; optimize the structure ofinvestors; promote financial innovation; the promotion of the companies to improvethe ownership structure; improve the securities market regulation; bring thefinancial services industry opportunities and challenges.The quantitative analysis is the study of Chinese stock market and theinternational stock markets, the international effect. During the study period1997-2011, the variables selected as the Shanghai Composite Index, the ShenzhenComposite Index, the U.S. Dow Jones industrial average, the German DAX index,the Hang Seng Index in Hong Kong and the Taiwan Weighted Stock Index.Correlation analysis, factor analysis, analysis of China after the introduction of theQFII system, the Shanghai stock market, the Shenzhen stock market and majorinternational stock market rate of return linkage changes. After the implementationof the QFII system, the Chinese stock market is no longer a closed stock market upsand downs of the Chinese stock market direction and the direction of theinternational stock market movements, while the linkage of the major internationalstock market rate of return than before the introduction of QFII significantlyimproved.Starting from the dynamic point of view, the DCC-GARCH model quantitativeanalysis of stock markets in Shanghai and Shenzhen stock market and majorinternational stock market volatility spillover effects. After the implementation of theQFII system, promote China’s stock market fluctuations aptitude international stock market close, the volatility spillover effect is very obvious. QFII presence, and notthe Chinese stock market to play a stabilizing role, but increased with the degree ofinternational stock market volatility.Finally summarizes the outstanding issues in China’s implementation of theQFII system, including the volatility of RMB to prevent problems; of QFIIdisclosure of information not perfect; QFII control of the companies; QFII may bringthe international transmission of risk problem. And make policy recommendations,including policies continue to take a step-by-step; strengthen the QFII disclosure;supporting systems to improve the innovation of financial products; improve theregulatory regime; and develop an international securities talent.

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