Abstract
By selecting the shares on Shanghai Stock Exchange of China held by QFII from 2009 to 2017 as the research sample and by using Stata12, Excel software, this paper studies the effect on the quality of the stock market caused by QFII holdings, scale of listed companies, their performance, and etc. through descriptive statistics, regression, and dummy variable regression methods. Empirical studies have found that QFII investment behavior is more rational and the ability of stock selection is stronger. Most of the stocks they hold have excellent performance and large market values; QFII holdings enhanced liquidity of the stock and reduced the volatility of stock prices, which tends to stabilize the stock price; QFII stock ownership has the biggest impact on the market quality of large and medium-sized stocks, but has a weak impact on small-cap stocks. The listed company who has better performance and larger current market value can achieve better stock liquidity and stability. China should continue to expand the QFII team, encouraging it to participate in the corporate governance activities of listed companies and tap the potential small-cap growth stocks, and allows excellent QFII to issue funds or other financial products at home and abroad. Chinese listed companies should actively improve their performance, strengthen cooperation with QFII to optimize corporate governance and strengthen market value management.
Highlights
By selecting the shares on Shanghai Stock Exchange of China held by QFII from 2009 to 2017 as the research sample and by using Stata12, Excel software, this paper studies the effect on the quality of the stock market caused by QFII holdings, scale of listed companies, their performance, and etc. through descriptive statistics, regression, and dummy variable regression methods
According to empirical analysis by Zhang Youhui et al [1] and Shang Jingbo [2], QFII shareholding ratio is positively correlated with stock price volatility, which indicates that QFII shareholding exacerbates stock price volatility and is not conducive to stock market stability
The following conclusions have been drawn: Without consideration of current market value and corporate performance, QFII stock holdings still have a strong influence on the stock market quality
Summary
Since China formally introduced the qualified foreign institutional investor (hereinafter referred to as QFII) system in 2002, QFII has grown rapidly. In terms of QFII investment preferences, Yang-Cheng Lu et al [9] found that foreign institutional investors in the Taiwan stock market of China tend to hold shares of large listed companies. They bought large-cap stocks in batches, of which the subsequent excess yields increased significantly, and their shareholding changes would help to reflect the effect of asset restructuring. I will make an empirical test to study the effect of QFII on the Chinese stock market in the past ten years and give corresponding suggestions
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