CAJ | 학술논문

本文用2003年至2011年A股市场数据,从QFII投资个股的角度实证其对股价同步性的影响。实证结果表明,QFII的长期投资有利于提高股价信息含量,降低股价同步性;而短期投资行为会提高我国股价同涨同跌的程度。这一结论明显受市场行情的影响,在牛市中短期QFII增加同步性的作用显著,而在熊市长期QFII减低同步性的作用更加明显。此外,QFII对股价同步性的影响也明显受个股规模的影响。
본문용2003년지2011년A고시장수거,종QFII투자개고적각도실증기대고개동보성적영향。실증결과표명,QFII적장기투자유리우제고고개신식함량,강저고개동보성;이단기투자행위회제고아국고개동창동질적정도。저일결론명현수시장행정적영향,재우시중단기QFII증가동보성적작용현저,이재웅시장기QFII감저동보성적작용경가명현。차외,QFII대고개동보성적영향야명현수개고규모적영향。
This paper is an empirical research about QFII＇ s impact on stock price synchronicity by using A-shares capital market data of 2003-2011. Our empirical result shows that QFII＇ s investment value helps improve information content in stock prices and reduce stock price synchronieity. However, QFII shareholding has different influence on stock price synchronicity in bull market and bear market. In bull market, the short-term QFII has a more significant influence on increasing stock price synchronicity. In bear market, the long-term QFII has a more significant influence on reducing stock price synchronicity. Information environment does affect the relationship between QFII shareholding and stock prices synchronicity. In addition, QFII＇ s impact on stock price synchronicity is also significantly affected by the size of individual stocks. This paper is divided into four parts. The first part discusses the QFII holding period analysis. The second part contains hypotheses, assumptions and definition of all variables. Because Chinese QFII does not share information with the public, we obtain information from top ten shareholders of QFII shareholding and shareholding amount from Corporation＇s quarterly listing or annual report. Data was retrieved from the Wind database recorded between Oct. 1, 2003 and Dee. 31, 2011. The third part explains the analysis process and results. QFII investment characteristics have influence on stock price synchronicity. Regression analysis results show that short-term investments and QFII can obviously improve stock price synchronicity and QFII long-term investment can significantly reduce stock price synchronicity. In addition, stock market share and stock price synchronicity have positive correlation as expected. The fourth part is the conclusion of three major findings. The first finding is that QFII value investment can reduce stock price synchronieity, and congenial behavior will improve stock price synchronicity. The second finding is that in different market situation QFII shares have different effect on stock price synchronieity. The third finding is that investment for companies in different size, and duration of QFII ownership has impact on stock price synchronicity. For small companies, QFII investment value has no significant effect on stock price synehronicity. QFII speculation has significantly positive effect on increasing stock price synchronicity. For large companies, QFII investment value can reduee stock priee synchronicity. However, QFII speculation has no significant effect on stock price synchronicity.