| Summary: | 碩士 === 逢甲大學 === 企業管理學系 === 87 === The purpose of this paper is to research and realize the role that QFII (Qualified Foreign Institutional Investors) has taken in domestic stock market, and to understand the feature of the stocks owned by QFII. Moreover, We want to know the weather if the investors take the same investment strategy with the QFII will bring abnormal return. In other words, we want to know that is the buy-and-sell information of QFII valuable by observing the block trading of QFII in domestic stock market.
The period of this research is from January 4, 1996 to May 29, 1998. The target is the domestic stock, which has huge volume of exchange by QFII. And we define these stocks as Portfolio of QFII. We will analyze and research the Portfolio of QFII, Industrial Group Stock of Portfolio of QFII and Market. At the same time, we will use the Sharpe, Treynor, Jensenα and . We focus on the activity of buy and sell out of the QFII. To simulate the strategy of QFII investment moves. Moreover, we use Event Study to explain and to conclude will it bring abnormal return by following the buy and sell of QFII.
A summary to the major conclusion is as following:
1. Portfolio performance evaluation:
The average return, Sharpe, Treynor, Jensenα, of Portfolio of QFII and Industrial Group Stock of Portfolio of QFII are better than Market.
2. The efficiency of following QFII:
（A） From the prospect of total sample stock
a. Buyer''s over QFII is a leading indicator of stock price.
b. Seller''s over QFII is not a good reference to invest.
（B） From the prospect of Industrial Group Stock of sample stock
a. In Electronics, Textiles, Pulp/Paper, Chemical, Transportation, Retailing, investors make investment decisions following buyer''s over QFII will get significant abnormal returns. We can take buyer''s over of QFII as an investment reference.
b. In Electronic, Plastics, Automobile, Electrical, Banking, investors make investment decisions following seller''s over QFII will get significant abnormal returns.
|
|---|
