Empirical Analysis of Impacts of QFII Trading Strategies on Stock Returns

Abstract

从行为金融学的角度出发，考察2010年三季度至2014年三季度70家QFII的交易策略对股票收益的影响。首先，通过MT指标的构建，检验惯性或反转现象的存在性；然后，按照MT值将不同的股票进行分类，采用Jegadeesh和Titman (1993)的模型研究惯性或反转交易策略的收益性，考察QFII的惯性或反转交易策略对股票收益的影响。结果表明，QFII大多倾向于追涨杀跌的惯性交易策略，并且惯性收益随着MT值的增长而增长，说明QFII的惯性交易策略影响了股票的惯性收益。 From the viewpoint of behavioral finance, this paper investigates the impact on stock returns of trading strategies for 70 QFII from the third quarter of 2010 to the third quarter of 2014. Firstly, the existence of momentum or contrarian phenomenon is tested by constructing a MT measure; then, the sample stocks are classified by the value of MT, and the stock returns are examined by using the model of Jegadeesh and Titman (1993) to analyze the impact of momentum or contra-rian strategy of QFII on stock return. Empirical results show that QFII tend to mostly use momentum strategy and also momentum return grows with the growth of MT value, implying that momentum strategy of QFII affects stocks’ momentum return.