QFII制度对中国证券市场波动的影响研究  

A Research into the lnfluence of QFII system on the Volatility of China's Securities Market

作　　者：王麟乐[1] 张一[1] 卢方元[1] 

机构地区：[1]郑州大学商学院,河南郑州450001

出　　处：《经济经纬》2011年第1期153-156,共4页Economic Survey

基　　金：教育部人文社会科学研究规划基金项目(08JA790121)

摘　　要：QFII制度作为实现资本市场渐进开放的过渡性安排,已经在多个国家成功实施。我国从2003年正式引入QFII制度,希望其能够对证券市场产生积极影响,特别是提高市场的稳定性水平。作者通过自回归条件异方差(GARCH)模型对我国引进QFII前后的市场波动性进行实证分析,得出QFII在总体上对我国市场稳定性改善作用不明显的结论,并提出了相关建议和对策。As a transitional arrangement of gradual opening of capital markets, QFII has been successfully implemented in many countries. China has introduced QFII formally since 2003, hoping that it can have a positive impact on the stock market, especially to raise the level of market stability. The authors used General Auto Regressive Conditional heteroscedastie Model（GARCH） to give an empirical analysis of market volatility before and after the introduction of QFII in China and drew the conclusion that the improvement of QFII on the Chinese market stability, in general, is not obvious. So the authors put forward some relevant suggestions and countermeasures.

关 键 词：QFII GARCH 收益波动率 

分 类 号：F830.91[经济管理—金融学]