QFII的A股市场垂直绩效.pdfVIP

博士生论坛征文 （资本市场） QFII 的A 股市场垂直绩效 朱相诚 华东师范大学 商学院 （上海 200241） Vertical Performance of QFII in A-share Markets Zhu Xiang-cheng (School of Business of East China Normal University，Shanghai，200241) 作者简介 作者单位：华东师范大学商学院 （上海 200241） 研究方向：证券市场 理论经济 电子信箱：zhuxch_ah@126.com 联系电话 1 QFII 的A 股市场垂直绩效 【摘 要】 QFII 在A 股市场将近 10 年的投资实践为其提供了必要的绩效评价 前提，而国内文献主要基于水平的视角、通过对国内投资同行（尤其是基金）的 交易行为和投资对象（上市公司）的内外治理影响进行总量研究。在概念准备和 指标选择的基础上，构建了考察其垂直分层绩效的理论框架，并且根据沪深 A 股市场的指数收益率变化，实证计量了依次推进的三个层次，以推进QFII 评价 的理论与实践，供A 股市场的进一步开放规制参考。结论为负的一定的审批政策 效应、正的微弱的资金数量效应和负的比较显著的策略溢出效应，据此给出了适 度加大QFII 的资金审批额度、恰当改进股票投资税收政策和完善信息披露机制 的监管改进建议。 【关键词】 QFII 绩效 A 股市场 指数收益率 垂直视角 Vertical Performance of QFII in A-share Markets ——Based on the Exploration to Revenue Rate of Index from Vertical Perspective 【Abstracts】The performance of QFII in Chinese stock market was main totally studied about the influence on trading behavior of native investing partners(especial funds) and management (internal and external) in listed companies from level perspective. On the base of concept definition three stages occurring one by one of the vertical performance of QFII in Chinese A-share markets were measured according to the change of the index in this paper and the specific empirical results were some certain negative effect of approved policy, weakly positive effect of money quantity and relatively significant effect of strategy overflow. Suggestions to improving supervision were put forward as to increase the amount of approved QFII’s money scale moderately, improve the tax policy of stock investment appropriately and make mechanism of information issue more perfectly. 【Key Words】Performance of QFII，A-share Markets，Revenue Rate of Inde