The Information Efficiency of QFII’s Investment in China’s Capital Market
This paper takes stock price synchronization and price delay as indicators of information efficiency, and uses mixed cross-sectional data of listed companies into which Qualified Foreign Institutional Investors (QFII) have made investments, to study the impact of QFII’s investment behaviors on the...
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| Format: | Article |
| Language: | English |
| Published: |
Editorial Department of Contemporary Social Sciences
2021-03-01
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| Series: | Contemporary Social Sciences |
| Subjects: | |
| Online Access: | https://css.researchcommons.org/journal/vol2021/iss2/12 |
| _version_ | 1797900383998181376 |
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| author | Sun Xianchao；Zhao Xiaolei；Liu Xinran；Dong Jianming |
| author_facet | Sun Xianchao；Zhao Xiaolei；Liu Xinran；Dong Jianming |
| author_sort | Sun Xianchao；Zhao Xiaolei；Liu Xinran；Dong Jianming |
| collection | DOAJ |
| description | This paper takes stock price synchronization and price delay as indicators of information efficiency, and
uses mixed cross-sectional data of listed companies into which Qualified Foreign Institutional Investors
(QFII) have made investments, to study the impact of QFII’s investment behaviors on the information
efficiency of China’s stock market. The results show that QFII’s investments can improve the information
efficiency of China’s stock market, but its impact is varied. The impact of QFII’s investments on market
information efficiency is more significant in bear markets than in bull markets, the impact on private
enterprises is more significant than on state-owned enterprises, and the impact on Small and Medium
Enterprises (SME) market is more significant than in main board market. Further research also finds
that QFII has a certain threshold effect on the information efficiency of China’s stock market. This
research paper provides a problem-solving perspective for China’s capital markets to achieve information
efficiency through opening up, and at the same time warns against financial risks. |
| first_indexed | 2024-04-10T08:45:08Z |
| format | Article |
| id | doaj.art-c3ba243bb7f2484d945d34c0dc331232 |
| institution | Directory Open Access Journal |
| issn | 2096-0212 |
| language | English |
| last_indexed | 2024-04-10T08:45:08Z |
| publishDate | 2021-03-01 |
| publisher | Editorial Department of Contemporary Social Sciences |
| record_format | Article |
| series | Contemporary Social Sciences |
| spelling | doaj.art-c3ba243bb7f2484d945d34c0dc3312322023-02-22T09:46:41ZengEditorial Department of Contemporary Social SciencesContemporary Social Sciences2096-02122021-03-0110.19873/j.cnki.2096-0212.2021.02.011The Information Efficiency of QFII’s Investment in China’s Capital MarketSun Xianchao；Zhao Xiaolei；Liu Xinran；Dong Jianming0Sichuan Normal University. Arizona State University. Nankai University. Southwest University of Finance and EconomicsThis paper takes stock price synchronization and price delay as indicators of information efficiency, and uses mixed cross-sectional data of listed companies into which Qualified Foreign Institutional Investors (QFII) have made investments, to study the impact of QFII’s investment behaviors on the information efficiency of China’s stock market. The results show that QFII’s investments can improve the information efficiency of China’s stock market, but its impact is varied. The impact of QFII’s investments on market information efficiency is more significant in bear markets than in bull markets, the impact on private enterprises is more significant than on state-owned enterprises, and the impact on Small and Medium Enterprises (SME) market is more significant than in main board market. Further research also finds that QFII has a certain threshold effect on the information efficiency of China’s stock market. This research paper provides a problem-solving perspective for China’s capital markets to achieve information efficiency through opening up, and at the same time warns against financial risks.https://css.researchcommons.org/journal/vol2021/iss2/12qualified foreign institutional investorsstock price synchronizationmixed cross-sectional datainformation efficiency |
| spellingShingle | Sun Xianchao；Zhao Xiaolei；Liu Xinran；Dong Jianming The Information Efficiency of QFII’s Investment in China’s Capital Market Contemporary Social Sciences qualified foreign institutional investors stock price synchronization mixed cross-sectional data information efficiency |
| title | The Information Efficiency of QFII’s Investment in China’s Capital Market |
| title_full | The Information Efficiency of QFII’s Investment in China’s Capital Market |
| title_fullStr | The Information Efficiency of QFII’s Investment in China’s Capital Market |
| title_full_unstemmed | The Information Efficiency of QFII’s Investment in China’s Capital Market |
| title_short | The Information Efficiency of QFII’s Investment in China’s Capital Market |
| title_sort | information efficiency of qfii s investment in china s capital market |
| topic | qualified foreign institutional investors stock price synchronization mixed cross-sectional data information efficiency |
| url | https://css.researchcommons.org/journal/vol2021/iss2/12 |
| work_keys_str_mv | AT sunxianchaozhaoxiaoleiliuxinrandongjianming theinformationefficiencyofqfiisinvestmentinchinascapitalmarket AT sunxianchaozhaoxiaoleiliuxinrandongjianming informationefficiencyofqfiisinvestmentinchinascapitalmarket |