QFII如何投资中国资本市场——来源国家或地区的制度环境与QFII投资偏好  

How Do QFIIs Invest in Chinese Capital Market?Institutional Environment of Home Country or Region and QFIIs'Investment Preference

作　　者：高新梓 夏立军[2] XINZI GAO;LIJUN XIA

机构地区：[1]深圳大学经济学院 [2]上海交通大学安泰经济与管理学院,200030

出　　处：《中国会计评论》2022年第3期407-434,共28页China Accounting Review

基　　金：国家自然科学基金青年项目(72102150);广东省自然科学基金面上项目(2022A1515012061);深圳市高等院校稳定支持计划面上项目A类(20200810151625001);国家自然科学基金面上项目(72072115);国家社会科学基金重点项目(22AZD034)的资助。

摘　　要：本文从QFII来源国家或地区的制度环境这一全新视角,考察QFII对中国资本市场的投资偏好。研究发现:(1)来自制度环境较好国家或地区的QFII更加规避公司治理弱(更多关联交易)和透明度低的上市公司;(2)来自制度环境较好国家或地区的QFI更加偏爱公开信息披露环境好(上市公司有微博或微信、更多的分析师跟踪、聘请国际“四大”会计师事务所)的上市公司;(3)来自制度环境较好国家或地区的QFII的上述投资偏好特征,虽然未带来显著更高的投资业绩,但能够显著规避未来异常的市场风险和经营风险。本文揭示了一种新的QFII“本土”偏好,同时对于中国资本市场的高水平对外开放具有启示。This paper investigates the relationship between institutional environment of QFIIs'home country or region and QFIIs'investment preference in Chinese capital market.We find that,(1)QFIIs from countries with stronger institutional environment are more likely to avoid listed companies with weak corporate governance(more related party transactions)and low transparency;(2)QFIIs from countries with stronger institutional environment are more likely to invest in listed companies with strong public information disclosure environment,which is reflected in listed companies having microblogs or WeChat,more analysts following,and Big 4 audits;(3)Although the above preference of QFIIs from countries or regions with stronger institutional environment does not bring significantly higher investment performance,it can significantly avoid future stock price crash and abnormal operating risk.Taken together,we offer a new type of QFIIs'home bias,which makes implications for better globalization of Chinese capital market.

关 键 词：QFII 来源国家或地区制度环境 本土偏好 

分 类 号：F832.5[经济管理—金融学] F832.6