QFII(合格境外機構投資者)在中國大陸開放至今已有兩年多了，QFII的實施象徵著中國大陸資本市場的開放、走向國際化邁出了一大步，不僅如此，QFII更帶動中國大陸其他相關金融產業的發展，對於改變中國大陸證券市場功不可沒。 本文即在研究中國大陸開放QFII此事件對於其證券市場造成多大的影響、影響程度如何，以「事件研究法」之方式得出各樣本之異常報酬，加以統合繪圖之後，實證探討此事件對於中國大陸股市之影響。 本研究發現： 1.中國大陸開放QFII此事件之宣告對於上海股市在事件日前七日與前兩日均造成顯著之異常報酬，對於上海及深圳股市於事件日前後均造成顯著的累積異常報酬。 2.中國大陸開放QFII此事件雖於事件日前後造成股價之異常報酬，但大盤整體趨勢呈現一定幅度下跌，符合本研究動機所探討，「外資在開放進入新興國家後，會在短期內呈現下跌趨勢」。 從實證結果看來，中國大陸開放QFII此事件對於中國大陸股市短期內造成一定程度的影響，以效率市場假說來看，此事件是合理的、迅速的反映在股價上，但長期看來，中國大陸之證券市場仍回歸到市場因素，然而中國大陸證券市場與成熟的國際資本市場存有相當的差異、上市公司素質不高、市場運作缺乏規範、投資者的投資理念不成熟、投機炒作氣氛濃烈等等因素，雖然中國大陸政府當局是希望藉由ＱＦＩＩ制度擔當長線投資者的角色，透過此一機制從外國投資者取得專門知識及良好投資技術，以助於中國大陸證券市場的健全發展，但是從近年來中國大陸經濟能在世界經濟景氣低糜中一枝獨秀，而中國大陸股市並未具體的反映看來，中國大陸政府當局在經濟和股市應扮演何種角色，減少對於市場之干預，以維持市場機制的運作，減少市場的不確定性，將是中國大陸政府深化經濟體制改革必須努力的目標。 The QFII has been adopted for two years in Mainland China. The practice of QFII not only symbolizes the openness of China’s capital market but also a big step toward the internationalization of China’s capital market. Moreover, the QFII helps to promote the development of the finance-related industry in China and has a great contribution to the money market in China. This research focuses on the influence of the openness of the QFII on China’s Stock market, and how the QFII affects china’s stock market as well. By using the method of “Event study”, this research gets every sample’s abnormal return. Then, using sample’s abnormal return to prove and analyze the effects and influences on China’s stock market. The study finds that： 1. Obviously, the announcement of QFII practice does have(create) abnormal return at Shanghai stock market, 7 days before the event and 2 days after the event as well. Shanghai and Shenzhen stock market do have obvious accumulated “abnormal return” during this event. 2. Although the openness of QFII does have the abnormal return in China’s stock market, the whole stock price drops during this period. This corresponds to the motivation of my research. It is that the value of the foreign capital into the newly-developed countries will drop in the short term.. To sum up, the event that the open QFII in China will have the influence to its stock market in the short term. It is correct for the hypothesis of the efficient market. However, the market factors direct the China stock market in the long term. Indeed, China’s stock market has many problems .And these problems are internal. In other words, these problems are actually caused by China government itself. China government may chose to stop the practice of QFII. However, how to reduce the intervention of the government is the most important factor to its stock market.
