The influence of QFII shareholdings on excess stock returns

Abstract

Since the introduction of QFII scheme in Chinese security market in 2003, the number of approved institutions and the approved investment quota have grown quickly. QFII have already become the second important institutional investors in the A-share market after the fund. This paper selects the data of QFII shareholdings and stock returns from March 2008 to December 2014. We establish multiple linear regression model and use the Fama-French Three-Factor Model to measure the excess stock returns, in order to analyze the influence of QFII shareholding behavior on excess stock returns. The empirical results show that: on the one hand, the more the number of QFII holding the stock, the lower the excess returns, while the effect is small. On the other hand, the higher the market value of QFII shareholdings, the higher the excess returns, but the effect is not very significant.