QFⅡ对中国股市波动影响的研究  

The Effect of QFⅡOn Stock Market Volatility

作　　者：彭涛[1] 

机构地区：[1]山东大学经济研究院(中心)

出　　处：《制度经济学研究》2008年第2期138-152,共15页Research on Institutional Economics

摘　　要：自2002年11月5日,中国证监会和中国人民银行联合颁布《合格境外机构投资者证券管理暂行办法》,到现在,合格境外机构投资者(Qualified Foreign Institational Invertors,简称QFⅡ)制度在我国实行已经有五年多时间,这些合格境外投资者也随着时间的推移正在逐步地深入到我国股票市场,那么QFⅡ对我国股票市场究竟带来了怎样的影响?本文拟从股票市场整体价格波动的角度入手,根据标志QFⅡ逐步进入我国证券市场的典型事件,利用GARCH类模型及事件分析法,试图刻画关于QFⅡ各事件发生前后我国股票市场价格波动的变化,以揭示QFⅡ制度给我国股票市场的波动所带来的影响。From September 5th,2002,when China's Security Regulatory Com- mission (SRC) and The People's Bank of China together decreed'Provisional Measures on Administration of Securities Investments of Qualified Foreign Institu- tional Investors (QFⅡ)',to the present,the institution of QFⅡhas been carried out for more than four years in our country;these qualified foreign institutional in- vestors have been gradually gone deep into China's stock market as well,so,what influence have QFⅡbrought in on China's stock market? In order to study the in- fluence of the investing behaviors of QFⅡon China's stock market,this article will begin from the price volatility of the entire stock market,uses rate of return from Shanghai Security Exchange and Shenzhen Security Exchange as price index of stock market.Using the events-study method and constructing GARCH model to capture the changes of China's stock market before and after various events of QFⅡhappened.

关 键 词：QFⅡ 股票市场波动 GARCH类模型 事件分析法 羊群效应 

分 类 号：F224[经济管理—国民经济] F832.51