【作者】 林丽；

【导师】 孙立；

【作者基本信息】 东北师范大学 ， 世界经济， 2006， 硕士

【副题名】基于内地证券市场的实证分析

【摘要】 当今世界正处于第二次世界大战以来所形成的金融全球化浪潮之中,金融资本在国际范围内频繁而大规模的流动极大地促进了各国经济的密切结合,各国国内金融市场日益成为全球金融市场的组成部分,金融市场的全球一体化趋势凸现。在这种背景下,中国内地证券市场国际化越来越受到国内外学者的广泛关注。在金融市场全球一体化的背景下,如何根据国内外情况,适时而动,采取什么方式和策略来积极推进我国证券市场国际化成为人们关注的热点。我国台湾证券市场开放中的一项制度创新——QFII制度,为内地证券市场开放提供了一个极具参考价值的蓝本。内地证券市场在2002年末正式实施QFII制度。这一制度是内地证券市场国际化进程中的一个重要步骤。本文试图从理论上分析中国内地证券市场实施QFII制度的原因,以及国际资本通过QFII进入中国投资的动因。考察了QFII制度的国际经验,以供内地证券市场借鉴。从实证上分析QFII投资内地证券市场的实践,分析其是否遵守了其一贯的价值投资理念,是否坚持长期投资,以及对中国证券市场到底产生了哪些影响。除引言和结论外,本文的主要内容分为四个部分:第一部分为QFII的理论基础。笔者将内地市场为何要实施该制度、国际证券资本为何希望通过该制度进入内地证券市场在理论上归结为以下四点:金融自由化理论、资本帐户对外开放理论、机构投资者治理理论、国际证券投资组合理论(ICAPM)。第二部分为QFII制度的国际经验。在这部分的写作中,笔者总结了台湾、韩国、印度三个国家(地区)类似制度的实施情况,找出了一些可供内地证券市场借鉴的经验和吸取的教训。并将内地QFII的制度设计与以上三个国家(地区)进行了对比。第三部分是有关内地证券市场QFII投资实践的实证分析。这部分是整篇文章的写作重点。在这部分中,笔者通过搜集整理各会计期间QFII投资上市公司的名单、份额及重仓股的变动来分析QFII投资内地上市公司的产业(行业)、地区、金融产品结构。最后,对QFII在内地证券市场的投资风格、投资理念作出总结。第四部分是有关QFII对内地证券市场影响的实证分析。这部分总结了QFII对上市公司、投资者以及市场走势的影响。总结全文,笔者发现内地QFII的投资行为较其在成熟市场上有一定的变异,与台湾、韩国、印度等新兴市场国家(或地区)的QFII投资行为相似。笔者认为主要原因在于内地证券市场本身的不规范性以及QFII对内地证券市场的快速适应性。QFII对市场的积极影响占主要地位,但影响程度的加深还有待于管理层政策不断放宽以及境内证券市场自身的不断完善。更多还原

【Abstract】 Financial globalization tide sweeps across the whole world after the World War II,in which the financial capital flow from country to country frequently and extensively. This gives the world a more Integrated financial market, and the domestic financial markets of various countries become components of the global financial market day by day. Under the background, how and what we can do to internationlize our domestic security market are very important subjects. A system innovation in the security market of Taiwan - -QFII system, has offered an original version that has reference value very much for the inland security market.The inland security market implemented QFII system formally at the end of 2002,and this system is an important step in internationalized process of the inland security market. This article attempts to analyze the reason why China inland security market implements QFII system theoretically, and international securities capital wants to invest China inland security market through QFII. Then, this article analyzes QFII’s investing practice of the inland security market from real example, and whether it has observed its consistent theory of investment for value, insisted on long-term investment, what influence it has produced to China’s securities market. Besides foreword and conclusion, the main content herein is divided into four parts:The first part is the theoretical foundation for QFII: Financial liberalization theory, the theory of capital account opening to the outside world, the theory of institutional investor management and international capital assets pricing model (ICAPM).The second part is the international experience of QFII system. This part has summarized the performances of this system in three countries’(or the area): Taiwan, South Korea and India, find out some suitable experience to refer and lessons to aviod for our mainland market. Finally, compare the system design of inland QFII system with the above three country (or the area).The third part three is the real example analysis of QFII’s investment practise in the inland security market. This part is a writing focal point of the whole page article. Through collecting the imformation about listed companies that QFIIs have invested in different accounting periods, this part analyzes the ground industry, trade, district, financial product structure of listed company that QFIIs have made their investment in inland security market. Finally, summarize QFII investment style, theory of investment on the inland security market. The last part is real example analysis about what influences that QFIIs have made to the inland security market. This part has summarized QFII impact on domestic listed company, investors and general trend of market development.Summarizing the full text, it appears that it has certain variatioqn of the investment更多还原