题名

Effects of the Foreign Institutional Investor Scheme on Chinese Stock Markets

并列篇名

境外機構投資者對中國股市的影響

作者

陳君達(Chun-Da Chen)

关键词

GARCH ； QFII ； Abnormal returns ； Trading volumes

期刊名称

企業管理學報

卷期/出版年月

107期（2015 / 12 / 01）

页次

1 - 31

内容语文

英文
英文摘要

The aim of this paper is to analyze the influence of the Qualified Foreign Institutional Investors (QFII) scheme announcement on the Chinese A- and B-share markets, using an event study method with the GARCH (Generalized Autoregressive Conditional Heteroskedasticity) process. The results indicate that the announcement of the QFII system did cause a rapid drop in stock prices and trading volumes for both the Shanghai and Shenzhen stock markets. The abnormal returns in the Shanghai A-share market are influenced the most by the QFII scheme and both stock markets experienced a sustained decline in the trading volumes. The results of cross-sectional variation further reveal that the number of board members, the shareholding ratio of block shareholders, the market capitalization of firm equity, and SOEs are all positively related to the abnormal trading activities. It is worth pointing out that stock listings in the overall Shanghai stock market and the both A-share markets exhibit a negative relationship with the abnormal trading behavior, implying that A-share stocks might be overvalued after the opening up of the B-share market.
主题分类 社會科學 > 經濟學
社會科學 > 管理學
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