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研究生:沈芝羽
研究生(外文):Chih-yu Shen
論文名稱:合格境外機構投資者制度對大陸股票市場之影響
論文名稱(外文):The Impact of the Qualified Foreign Institutional Investor on the China Stock Market
指導教授:陳君達陳君達引用關係陳美玲陳美玲引用關係
指導教授(外文):Chun-da ChenMei-ling Chen
學位類別:碩士
校院名稱:大葉大學
系所名稱:國際企業管理學系碩士班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:英文
論文頁數:64
中文關鍵詞:合格境外投資機構制度(QFII)大陸股票市場事件研究法一般化自我迴歸異質條件變異數
外文關鍵詞:Qualified Foreign Institutional Investors(QFII)China Stock MarketEvent studyGeneralized Autoregressive Conditional Heteroskedasticity(GARCH)
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本文目的在檢測合格境外投資機構制度(QFII)之宣告對大陸股市所產生之影響。文中採用事件研究法配合一般化自我迴歸異質條件變異數(GARCH)模型來驗證事件日前後之異常交易行為(包括異常報酬與異常交易量)。實證結果發現,此制度宣告造成股價與交易量大幅下跌,特別是對上海A股股價下跌之情形最為顯著。
再者,本文亦利用橫斷面迴歸分析(Cross-sectional Regression Analysis)來檢驗公司特性與異常交易行為之關聯性。實證結果顯示,董監事人數多寡、大股東持股比率、公司市值大小與國營事業與否與異常交易行為呈現正向關係。值得一提的是,異常交易行為與上海股市及深圳A股呈現顯著負向關係。
綜合而言,QFII制度的建立的確造成市場出現異常交易行為,然而大陸股市存在之濃厚投機炒作氣氛,是否能藉由QFII長期理性投資行為來引導校正仍須長期觀察。且中國大陸政府近年來積極推動各種金融市場改革。因此投資人投資於大陸股市時,必須特別注意大陸政府所實施的金融改革開放措施,亦須了解公司特性與公司股票報酬間之關係,以此降低投資新興市場時之風險。
The aim of this paper is to analyze the influence of the Qualified Foreign Institutional Investors (QFII) scheme announcement on the Chinese A- and B- share markets. The investigation period covers 161 daily observations for each stock index price series which was from 140 days prior to the announcement to 20 days after the announcement. First, we examine the abnormal trading behavior (abnormal returns and abnormal trading volumes) surrounding the announcement day via event study with GARCH (Generalized Autoregressive Conditional Heteroskedasticity) process. We find that the announcement does cause a rapid drop on stock prices and trading volumes on both stock markets. It is obvious that the abnormal return in the SHA was influenced by the QFII scheme most, meanwhile the China stock market exhibit a sustained decline in the abnormal trading volume.
Moreover, we explore cross-sectional variation to examine the relationship between firm’s properties and abnormal trading behaviors. The results of cross-sectional variation reveal that the number of board members, shareholding ratio of block shareholder, market capitalization of firm equity and SOEs are positive related to the abnormal trading behavior. It may be worth pointing out that the stock listing in Shanghai stock market and A-share markets exhibit a negative relationship with abnormal trading behavior. The most likely explanation might be that the A-share stocks might be overvalued after the opening of the B-share market.
Overall, the China stock market experienced a huge reduction after the introduction of the QFII scheme. That is to say, to investors who concentrate on the China stock market, they should pay attention to the policy reform by the Chinese government. At the same time, they should also try to realize what firm’s properties might influence the stock return. In this case, the investors can reduce the risk from investment, especially invest in emerging markets.
Contents

Chapter 1 Introduction.................1
  1. 1 Backgrounds and Motivations..........1
  1. 2 Objectives....................3
  1. 3 Date Selection and Methodology Descriptions. 5
  1. 4 Chapter Outline.................5
Chapter 2 Literature Review and Formulation of Hypotheses.7
  2. 1 The Background of the China Stock Market...7
  2. 2 Selected Literature Review...........11
  2. 3 Hypotheses Development.............15
Chapter 3 Data and Methodology.............19
  3. 1 Data.................... ...19
  3. 2 Methodology...................19
Chapter 4 Empirical Results..............26
  4. 1 Results of AARs and CAARs...........26
  4. 2 Results of ATVs and CATVs...........30
  4. 3 Results of Cross-Sectional Regressions....33
Chapter 5 Conclusions..................37
References ........................40
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