QFII与国内基金投资行为比较研究

上海交通大学硕士学位论文QFII与国内基金投资行为比较研究姓名：王雅琴申请学位级别：硕士专业：管理科学与工程指导教师：冯芸20090101-I-QFII2002(QFII)QFIIQFIIQFIIQFIIQFIIQFIIQFIIQFIIQFII200520081582317QFII-II-QFIIQFIIQFIIQFIIAQFIIA612QFII-III-COMPARISONSTUDYONINVESTMENTBEHAVIORSOFQFIIANDDOMESTICFUNDINCHINAABSTRACTToimprovetheinternationalizationandinternationalinfluenceofChina'scapitalmarketandtocultivatetherationalinvestmentideaandtoimprovetheuseofadvancedriskmanagementskill,in2002ChinastartedtointroduceQualifiedForeignInstitutionalInvestors.QualifiedForeignInstitutionalInvestors(QFII)areinlinewithcertainconditionsandthehostcountry’sapprovaloftherelevantgovernmentdepartments,theycanimportacertaindegreeofforeignexchangefunds,convertintolocalcurrency,andthroughstrictsupervisionoftheSpecialAccountforinvestmentinthelocalcapitalmarket.QFIIfundhasbecomeanimportantpartofinstitutionalinvestorsinthedomesticcapitalmarkets.StudyabouttheQFII’sinvestmentbehavioranditsimpactonChina'scapitalmarketisofgreatsignificance.ThispaperaimstocomparethedifferenceofChina'sQFIIanddomesticfundsintheinvestmentbehavior(mainlyinvestmentstrategyandtradingstrategy)andtrytoexplainthereasonsforthesedifferences.Tofinishthispurpose,followingjobshavebeendone:Basedonthehomeandabroadliteraturereview,thisarticlefirstintroducestheQFIIsystemofourcountry,andcomparestheQFIIsysteminChinawithSouthKoreaandTaiwan.TheresultsshowthattherequirementsofChina'sQFIIsystemaremuchhigherthanSouthKoreaandTaiwan.SothatguaranteesthegoodqualityofoverseasinstitutionalinvestorsandthestabilityofChina'ssecuritiesmarket.Secondly,QFIIanddomesticfund’sinvestmentstrategyandtradingstrategyarecomparedinthiapart.Alltheportfoliodataarecollectedthroughlistedcompanies’reportsandthetimeisfrom2005Q1to2008Q3alltogether15quarters.Thedataof823listedcompaniesiscollectedandpickup17financialindexesfromeverylistedcompany.Multiplelinearregressionmodelisusedtocomparethepreferenceof-IV-selectingstockbetweenQFIIanddomesticfund.Theresultsshowthatthedomesticfundsgenerallyprefermarketindicators,forexample,excessreturninlastquarter.ButQFIIpreferthestock’svalueandthegrowthabilitymore,forexample,ROE.Anddomesticfundismorelikelytoadoptmomentumtradingstrategy.Third,QFIIAshare’sreturnanddomesticfund’sreturniscompared.Theresultsshowthatmonthlyreturnandlatest6monthreturnofQFIIAshareanddomesticfundshareisalmostthesame.Butinthelatest1yearreturn,QFIIAshareislowerthandomesticfund.Last,basedontheabovestudy,somesuggestionsaboutfurtherstudyisbroughtup.KEYWORDS:QFII,domesticfund,momentumtrading,contrarianttrading,investmentbehavior-1-11.1(QualifiedForeignInstitutionalInvestor)QFII200750%68.28%7.98%4.42%0.01%7.10%QFII12.21%1-1Fig.1-1theratioofinstitutionalinvestorinChinastockmarket2007QualifiedForeignInstitutionalInvestorQFII2008103171QFII12007129QFII3005QFII-2-200620072007200810613342020083229061813736%050001000015000200002500030000350002003Q12003Q32004Q12004Q32005Q12005Q32006Q12006Q32007Q12007Q32008Q12008Q31-2Fig1-2thegrowthofnetvalueoffundinChinasecuritymarket2000“”2002200580050005%20%2006—2007-3-QFII20032008103171QFII40100300QFIIQFIIQFIIQFIIQFIIQFIIQFII1.21.2.11.(1)Kaminsky,LyonsSchmukler(2001)[1]90Froot,O’Connell,Seasholes(2001)[2]1994199844(equity-4-return)Frankel,Schmukler(1996)[3]1994KimWei(2002)[4]19961219986(2)QFIITzu-YunTsengJung-HuaHung(2007)[5]QFIIMSCIMSCIMSCIJack(2001)[6]OTC(buy-selldifference)19967419991218(VectorAutoregressiveMethodVAR)(buy-selldifference)OTC(buy-selldifference)Cho-MinLinYen-HsienLeeChien-LiangChiu(2009)[7](jumpintensitymodel)-5-QFIIQFIIStevenYEO(2003)[8]QFIIQFII300%LiJi-ming,WangZhao-hua(2007)[9]QFII(PLC)QFIIQFII(PLC)QFIIQFIIQFIIQFIIQFIIQFIIQFII2.3QFIIDebondtThaler(1985)[10]Jegadeesh(1990)[11]Chopra,LakonishokRitter(1992)[12]-6-JegadeeshTitman(1993)[13]JegadeeshTitman(1993)[13]Lakonishok,Shleifer,ThalerVishny(1994)[14]1985—1989769,Choe,KhoStulz(1999)[15]1997GrinblattKeloharju(2000)[16]Pinnuck(2004)[17]1990—1997351.2.2QFIIQFII1.QFIIQFII(2003)[21](2005)[22]QFII(2003)[23]QFIIQFIIQFIIQFIIQFII(2005)[22](2008)[24]-7-QFII(2007)[25]QFII(2006)[26]QFIIQFII(2008)[24]QFIIQFII2.QFII(1)(2007)[27]QFIIGARCHQFIIQFIIQFIIs(2007)[28]QFII2004120063QFIIQFIILSV(1992)QFIIQFII(2)(2007)[29]“”“”QFII20031120061231127127QFII200311CARQFIIQFII-8-(3)QFIIQFII2007[30]2007[31]QFIIQFIIQFIIQFIIQFII2007[32]2005QFIIQFIIQFIIQFII2006[33]QFII2007[32]QFIIQFII2007[34]GARCH11AAQFIIQFII2005[35]QFIIQFIIQFII2006[36]GARCH(1,1)QFIIQFII2007[34]QFII2005[35]QFII2006[36]QFIIQFIIQFII-9-QFIIQFIIQFIIQFII2008[37]QFIIQFII2007[38]QFIIQFIIQFII2006[39]200372005630QFIIQFIIQFII2005QFIIQFII3.QFIIQFII(2007)[40]QFIIQFII9QFIIQFIIQFII2007[41]QFIIQFII“”2007[42]QFIIQFIIQFII-10-2008[43]GTWQFIIQFII1.3QFIIQFIIQFIIMQFIIQFIIAQFIIAQFIIA1-3QFIIQFIIQFIIQFII2006QFIIQFIIQFIIQFII-11-QFII22008[43]M200512008315QFIIQFIIAQFIIA3QFII1-3Fig.1-3thestructureofthethesis12QFII3QFII4QFIIA5-12-2QFII2.1QFII2.1.1QFII(QualifiedForeignInstitutionalInvestor)QFII[20]2000QFIIA2002117121QFII20021128QFII2002121200211302003153QFII2003319QFIIQFII20068252006912002115-13-2-1QFIITab.2-1allkindsofregulationsintheQFIIprocess20021151212002112812120021130