导　　师： 刘沛

学科专业： 020204

授予学位： 硕士

作　　者： ;

机构地区： 暨南大学

摘　　要： 本文选取万德数据库2013年6月30日统计的QFII重仓持股的107家上市公司从2008年第一季度到2013年第二季度的QFII持股比例为研究样本，用能够更加完善地反应股票内在价值的经国内学者赵志军修改后的超额收益模型计算股票内在价值，用系统广义矩/(GMM/)估计的方法对构造的动态面板数据模型，围绕QFII持股比例与股价偏离度（股价偏离上市公司股票内在价值的程度）的关联性展开研究，探究QFII持股对上市公司股价波动的影响。研究结果表明：QFII持股比例的上升有助于股票价格向股票内在价值回归，但是QFII的持股具有明显的行业偏好，其中，对制造业和服务业的投资额度最为集中，对这两个行业股价对内在价值回归的影响也最明显。 根据以上实证结果，本文提出了进一步推进QFII制度，引导QFII向多行业投资，促进QFII与境内的机构投资者交流，参与上市公司治理，同时加强对QFII的监管，促使其提高投资透明度和完善信息披露机制等具体的政策建议。 This paper selects107listed firms whose stocks are heavily held by QFII fromthe first season of2008to the second season of2013aggregated by Wind database onJune.30,2013, with the usage of Zhijun Zhao modified Ohlson Model, which canbetter describe the intrinsic value of stocks, and establishes the dynamic panel datamodel using System GMM estimation method to analyze the relationship between theproportion of QFII share holding and stock price deviation/(the extent of deviationbetween stock price and intrinsic value of stocks/), and tries to find out the influence ofQFII shareholding on stock price. The result shows that the increase of QFIIshareholding proportion helps stock price to regress to its intrinsic value, however,QFII shareholding behavior has obvious industrial preference, among which themanufacturing industry and service industry are the most strongly investmentconcentrated and have the best regression effect. According to the empirical result above, this paper suggests that we shouldfurther promote the QFII system, lead QFII to invest in various industries, help QFIIcommunicating with domestic institutional investors, take part in corporategovernance and at the same time strengthen the supervision on QFII, to lead it toimprove its investment information transparency and perfect the informationdisclosure mechanism.

关 键 词： 持股 股价 广义矩估计 动态面板数据模型

领　　域： [经济管理—金融学] [经济管理—国民经济]