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The Study on the Investment Strategy, Investment Preference and the Related Influence Factors of QFII in Chinese Stock Market

Author: WanBinFei
Tutor: ShiDaiMin
School: Southwestern University of Finance and Economics
Course: Quantitative Economics
Keywords: QFII Stock Portfolios Invest Stratege VaR-GARCH Model Listed Companies Characteristic Index
CLC: F832.51
Type: Master's thesis
Year: 2009
Downloads: 206
Quote: 4
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Abstract


With the rise of economic globalization, global connectednesses between different countries as well as their financial markets have become increasingly close. No country can possibly advance behind close doors. As an important part of the world economy, only in the way of the open policy, can we develop Chinese economy. With the expanding of the reform and opening-up policy, Chinese economy is facing more and more calls for joining into the globalization. Moreover, according to the requirements of the WTO, it’s necessary to open domestic capital market completely.For the realization of open in an orderly way, QFII, as a transitional system, is the most reliable pattern which was confirmed by developing stock markets. On Dec 1st, 2002, the effect of the regulation called Provisional Measures on Administration of Domestic Securities Investments of Qualified Foreign Institutional Investors (QFII) indicated the setting-up of QFII system in the stock market of Chinese Mainland. After full preparations, UBS placed the 1st order in Chinese A share market on July 9th, 2003. Henceforth, more and more QFII participated in the investment of Chinese capital market. In terms of the outstanding performances in practice, people’s attentions were drawn to the strategies of QFII. The researches on QFII presently mainly focused on 3 aspects. First, the introduction to the system of QFII and related experiences. Second, the influence of QFII on Chinese economy. Third, the influence of QFII on microeconomic entities and individuals. Obviously, QFII didn’t get enough attention as investors. Therefore, we will focus on this problem, based on the characteristics of portfolio and their impacts.This paper proposes 4 parts for researching. First, review and discuss the main theories of QFII system. Second, theoretic analysis of the factors that influence the strategies of QFII, such as risks, inner characteristics of listed companies and markets. Third, statistical and contrastive analyses of the investment performances of QFII. Fourth, positive analysis of the preference of QFII, based on GARCH models with VaR and the listed companies characteristic index. From what has been discussed above, we may draw the conclusions that:Without the conditions of open capital market as well as fully convertible currency, QFII, as a transitional system, will have many positive effects on improving our stock market and securities regulating.Based on the modern portfolio theories, fundamental analysis, technical analysis and the theories of corporate finance, QFII comprehensive calculate the long run and short run strategies.According to GARCH models with VaR, we can measure the volatility and yield of QFII and other domestic funds. From positive analysis, we may draw the conclusions that QFII do better than other domestic funds.On the one hand, QFII pay most attentions on asset-liability ratio, net profit growth rate, main business growth rate, EPS, year of listed and beta value. On the other hand, QFII pay little attentions on total assets. Moreover, QFII take different strategies during bear market and bull market. When the stock market expanding, despite of the good finance conditions, the higher-priced stock will be treated as a low-investment-value one.Based on collected more complete data, this paper makes an empirical study on the investment strategy, investment preference and the related influence factors of QFII in Chinese stock market. Also, this paper makes some contribution in different subjects. As the transitional system chosen by some emerging market economy countries, QFII system is involving a wide range of subjects and content. The QFII system of China is still in a critical period, it’s significant to carry out a comprehensive and deep study. Because the concern about the investment strategy of QFII is just one aspect of all acts of QFII system, the further studies on the other aspects of QFII need to be carry out.

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