Dissertation > Excellent graduate degree dissertation topics show

An Analysis About the Impact of Qualified Foreign Institutional Investors (QFⅡ) System on China Stock Market’s Volatility

Author: WangWen
Tutor: DingYuanYao
School: Ningbo University
Course: Quantitative Economics
Keywords: QFⅡ stock market volatility GARCH model
CLC: F224
Type: Master's thesis
Year: 2010
Downloads: 178
Quote: 0
Read: Download Dissertation

Abstract


QFII system is the transitional measurement for a country or a region to open up its capital market. In order to improve China security market’s development, QFII system was introduced to China in 2002.This assay uses stock market’s related data to make an empirical analysis about QFII’s impact on China stock market’s volatility and about the positive impact of China security market’s institutional improvement and optimization of investment environment on QFII.In the part of empirical analysis, this paper uses GARCH model and event analysis to study the volatility of related stock indexes after QFII’s entering into China’s stock market. According to particular events about QFII’s investment amounts’s expanding, this article uses three dummy variables for the the process of QFII’s deeply involved in China’s stock market with the release of investment limitations. Besides, this assay uses the fourth dummy variable for the consummation of the shareholder structure reform. Based on the study of coefficients of these four dummy variables, this article makes a thorough study on QFII’s impact on China’s stock market’s volatility and if China’s security market’s institutional improvement and optimizing investment environment have positive impact on QFII’s positive role.Empirical results show that QFII’s investment behaviors have a positive role in controlling stock market’s volatility. With the expanding of investment amount, the role of stabilizing the stock market is also growing. The consummation of the shareholder structure reform is conducive for QFII to play its positive role in controlling stock market’s volatility. This conclusion can be conjectured for the whole of China’s security market’s institutional improvement and optimizing investment environment. Therefore, the article suggests that we should release QFII’s access to China’s stock market and promote the further opening of China’s security market; we should strengthen the system construction of China’s security market and further optimize the external environment for QFII.

Related Dissertations

  1. Shanghai and Shenzhen stock markets empirical research,F224
  2. Research on Support Vector Regression in Prediction of the Short-term Load of Power System,TM715;F224
  3. The Application Research to Risk Measurement of Index Futures,F224
  4. The Study About the Securities Investment Funds’ Holding and Price,F224
  5. Our open-end fund market risk measurement,F224
  6. Research on the Regime Switchin Aciton in Chinese Stock Market Volatiolity,F832.51
  7. The Comparative Research on Chinese Stock Market Segmentation,F832.51
  8. Our stock index futures market volatility on the stock market impact analysis,F224
  9. The Analysis on the Asymetric Effects of Exchange Rate Fluctuation on Exports of Major Eastern Asian Countries,F753.3;F224
  10. Stock index futures hedging strategy,F832.5
  11. Based on GARCH Model Method of VAR in securities investment funds in the application and analysis,F830.91
  12. Risk Measurement of China’s Stock Market Based on Quantile Regression Model,F832.51
  13. CAPM-EGARCH model based on financial risk measurement and Volatility Spillovers,F830
  14. Based on GARCH Model international dry bulk freight index of volatility,F224
  15. An Empirical Study of the Impact of Stock-index Futures on the Spot Market Fluctuation,F832.51
  16. Phase study of the Chinese stock market return volatility,F832.51
  17. The Study on the Relationship between the RMB/USD Exchange Rate and China’s Stock Market,F832.52;F832.51
  18. Study of Co-Movement between Chinese Stock Market and U.S. Stock Market under the Background of Financial Crisis,F832.51;F831.51
  19. Research based on the the VaR method of stock index futures investment risk,F832.51
  20. CSI 300 stock index futures launch spot fluctuations,F224
  21. Empirical Rresearch on Price Fluctuations of Warrants in Current Market of China,F832.5

CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
© 2012 www.DissertationTopic.Net  Mobile