QFII與中國證券投資基金業(yè)績比較研究.pdf

1、QFII與中國證券投資基金業(yè)績比較研究——基于中國A股市場的實(shí)證分析目錄摘要Abstract第1章引言l.i研究背景及研究意義1.2國內(nèi)外文獻(xiàn)綜述1.2.1國外對(duì)國際投資者的研究綜述1.2.2國內(nèi)對(duì)QFII和證券投資蓽金的研究綜述1.3論文結(jié)構(gòu)與研究方法1.3.1研究內(nèi)容1.3.2研究方法第2章QFII與中國證券投資基金的發(fā)展歷程2.1我國QFII制度的發(fā)展歷程2.2QFII制度國際比較2.2.1外資機(jī)構(gòu)準(zhǔn)入資格

2、的汄定2.2.2外資投資比例和投資范問的限制2.2.3關(guān)于資木流動(dòng)的限制2.3我國證券投資基金的發(fā)展歷程第3章QFII與中國證券投資基金業(yè)績比較3.1回顧20012011年中國股市行情3.1.1牛市與熊市的定義3.1.2實(shí)證分析20012011中W股市行情3.1.320052011巾丨玉丨股市行情描述3.220062011年業(yè)績回報(bào)率總體比較B.3QFII與證券投資基金業(yè)績差異顯著性檢驗(yàn)....3.3.1樣本數(shù)據(jù)、變

3、帚定義和實(shí)證分析第4章QFII與基金業(yè)績差異原因分析4.1持股偏好比較4丄1持股偏奵模型回歸分析4.2交易策略比較4.2.1模型建、4.3本章小結(jié)第5章結(jié)論與展望5.1■5.2展望參考文獻(xiàn)賴AbstractSincebeingthememberofWTOin2001，Chinabegantoopenitscapitalmarkettofeigninstitutionalinvests.ThenQFII—Quali

4、fiedFeignInstitutionalInvestorsasatransitionsystemcametoChinain2002.Nearly10yearspassedQFIIhasbeenoneoftheimptantinvestmentinstitutionsinChinesecapitalmarket.WithlonginvestinghistyandmostprofessionalanalystsareQFIIsadvan

5、tages.WhiletheychallengedbyChinalocalinvestmentinstitutionssuchasDomesticFundandotherfinancialinstitutions.TheirChineserivalsaremorefamiliarwithChinanationalconditionsandregulations.SohowwilltheyperfminChinesemarketWillt

6、heybeatdomesticfundThesequestionsleadmetostudythistopicof‘‘StudytheperfmancedifferencebetweenQFIIDomesticFund.”FirstlyIintroducethehistyofChineseQFIIcomparedQFIIwithTaiwanSouthKoreaandIndia.Sinceabovementionedemergingeco

7、nomicentitiesapprovedQFIIseveralyearsago.TheirexperiencecangivesomehelptoChineseQFII.SecondlymymaintaskistosummarizethedifferenceofreturnbetweenQFIIandDomesticFundfromtheyear2006to2011.1collecttheaveragemonthlyrateofretu

8、rnofQFIIandDomesticFundfromtheyear2006to2011asresearchdata.BasedontheSHIndexmovementIdefinethe9yearsintobullandbearmarketphase.AccdingtostatisticresulttheperfmanceofQFIIandDomesticFundshowedsignificantdifferencesinbullbe

9、arphases.InthebullmarketQFIIsgainedlessearningsthomesticFundtakethetime2006to2007fexample.HoweverwhenthewholemarketsufferedfinancialcrisisandchangedtobearmarketthenQFIIsoutperfmedthanDomesticFund.Eventhetwoinstitutionsco

10、ntractedtheirprofitandturnedouttolossresult.DomesticFundlostmethanQFIIs.Accdingtotheempiricalstudy，Iclaimedthatindifferentmarketphases，QFIIandtheDomesticFundshavedifferentperfmance.Inthelongruntheyshowedthesametrendwitht

11、heSHIndex.Thenextpart工trytoexplaintheaboveperformancedifferencefromtwoparts.Differentfinancialinstrumentswillbringdifferentreturns.BasedoninvestmentstrategyItrytoexplaintheabovephenomenafromwhatspecialstockstheyhavechase

12、d.Andtwhatspecialfeaturesthestocksthattheylongholdhave.AccdingtorelativeownershipratiointheptfoliostheyholdIedtop70highratiostocksasstudysamplesineveryquarterfrom2005to2011.IndertofindthecompanycharacteristicsIuse10finan