【作者】 谢政谕；

【导师】 李志辉；

【作者基本信息】 南开大学 ， 金融学， 2012， 博士

【摘要】 中国于2002年12月正式实施QFII制度，QFII是英文Qualified ForeignInstitutional Investors的缩写，所谓QFII，就是合格境外机构投资者，通常泛指保险、银行、证券商、基金管理机构，以及其它投资机构，包括共同基金、退休基金、政府基金及慈善基金等。QFII制度是指一个国家或地区，在货币未能实现完全自由兑换，以及资本项目尚未开放的情况下，有限度地引进外资、开放资本市场的一项过渡性的制度。这种制度要求外国投资者，在进入一国的证券市场时，必须符合一定条件，通过该国有关部门的审批后，汇入一定额度的外汇资金，再转换为当地货币，通过监管的专门帐户投资当地证券市场。QFII制度的建立与证券市场开放有极大的关联，在全球经济一体化的浪潮下，许多发展中国家通过证券市场开放达到与国际市场接轨。QFII制度就是有限制直接开放的一种模式。本文采用了定性与定量分析，多方面地探讨QFII制度对中国证券市场产生的效应。中国施行QFII制度的效应，包括了提高中国与国际市场关联度；优化投资者结构与投资理念；推动金融创新；促进上市公司完善股权结构与公司治理；完善证券市场监管；带来金融服务业的机会与挑战等。定量分析则是研究中国股票市场与国际股市的国际接轨效应。研究期间为1997年至2011年，变量的选取为上证综合指数、深证综合指数、美国道琼工业指数、德国法兰克福DAX指数、香港恒生指数与台湾加权股价指数。以相关系数分析、因素分析法，分析中国引进QFII制度后，上海股市、深圳股市与国际主要股市的收益率联动性的变化。实证结果表明，QFII制度实施后，中国股市不再是封闭的股票市场，中国股市的涨跌方向与国际股市走势方向一致，同时与国际主要股市的收益率联动性也比引进QFII前明显提高。此外，以动态条件相关GARCH模型（Dynamic Conditional CorrelationGARCH Model，即DCC-GARCH模型）分析上海股市与深圳股市与国际主要股市的波动溢出效应。实证结果表明，QFII制度实施后，促进中国股市的波动性向国际股市靠拢，波动溢出效应非常明显。QFII的进驻，并没有对中国股票市场起到稳定的作用，而是加大了随国际股市波动的程度。论文最后总结了我国推行QFII制度后尚待解决的问题，包括人民币剧烈波动的防范问题；QFII的信息披露不够完善的问题；QFII对上市公司股权的掌控性问题；QFII可能带来国际传导性风险的问题。并进一步提出政策建议，包括继续采取循序渐进的稳健政策；强化QFII的信息披露；完善金融商品创新的配套制度；完善监管体制；以及培养国际证券人才等。更多还原

【Abstract】 In December2002, the formal implementation of the QFII system, the QFII isthe abbreviation of the Qualified Foreign Institutional Investors, the QFII usuallyrefers to insurance, banks, securities dealers, and other investment institutions,including mutual funds, pension funds, government funds and charitable funds.This paper uses qualitative and quantitative analysis of various aspects of theQFII system on the Chinese stock market effect. The QFII system effects, includingto improve China’s international market correlation; optimize the structure ofinvestors; promote financial innovation; the promotion of the companies to improvethe ownership structure; improve the securities market regulation; bring thefinancial services industry opportunities and challenges.The quantitative analysis is the study of Chinese stock market and theinternational stock markets, the international effect. During the study period1997-2011, the variables selected as the Shanghai Composite Index, the ShenzhenComposite Index, the U.S. Dow Jones industrial average, the German DAX index,the Hang Seng Index in Hong Kong and the Taiwan Weighted Stock Index.Correlation analysis, factor analysis, analysis of China after the introduction of theQFII system, the Shanghai stock market, the Shenzhen stock market and majorinternational stock market rate of return linkage changes. After the implementationof the QFII system, the Chinese stock market is no longer a closed stock market upsand downs of the Chinese stock market direction and the direction of theinternational stock market movements, while the linkage of the major internationalstock market rate of return than before the introduction of QFII significantlyimproved.Starting from the dynamic point of view, the DCC-GARCH model quantitativeanalysis of stock markets in Shanghai and Shenzhen stock market and majorinternational stock market volatility spillover effects. After the implementation of theQFII system, promote China’s stock market fluctuations aptitude international stock market close, the volatility spillover effect is very obvious. QFII presence, and notthe Chinese stock market to play a stabilizing role, but increased with the degree ofinternational stock market volatility.Finally summarizes the outstanding issues in China’s implementation of theQFII system, including the volatility of RMB to prevent problems; of QFIIdisclosure of information not perfect; QFII control of the companies; QFII may bringthe international transmission of risk problem. And make policy recommendations,including policies continue to take a step-by-step; strengthen the QFII disclosure;supporting systems to improve the innovation of financial products; improve theregulatory regime; and develop an international securities talent.更多还原