Learning Chinese? The changing investment behavior of foreign institutions in the Chinese stock market

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Title: Learning Chinese? The changing investment behavior of foreign institutions in the Chinese stock market
Author: Korkeamäki, Timo ; Virk, Nader ; Wang, Haizhi ; Wang, Peng
Organization: Bank of Finland
Department / Unit: Institute for Economies in Transition (BOFIT)
Series: BOFIT Discussion Papers
Series number: 19/2018
Year of publication: 2018
Publication date: 19.11.2018
Pages: 37
Subject (yso): sijoittajat; sijoitukset; arvopaperit; osakkeet
Keywords: Bofit-kokoelma; QFII; Kiina; osakemarkkinat; institutionaaliset sijoittajat
JEL: G11; G15
Other keywords: foreign investor; institutional investor; Qualified Foreign Institutional Investor (QFII) scheme; China
Abstract: We analyze preferences of foreign institutional investors in the Chinese stock market in a sample that covers 2003 to 2014. We find foreign investors changed their investment behavior during the sample period from generic patterns found in much of the world to China-specific patterns. The results suggest that foreign institutions learned to adjust their investment behavior to account for unique features of the Chinese market.
Table of contents: Abstract 4 1 Introduction 5 2 Institutional background and hypotheses development 8 3 Data 11 3.1 QFII holdings data 11 3.2 Distribution of QFIIs among countries and categories 13 3.3 Variable description 14 3.4 Difference in means test 17 3.5 Decile descriptive statistics for firms with positive FOWN 18 3.6 Increased focus of QFII investments 18 4 Regression analysis 20 4.1 Methodology 20 4.2 Stock preferences of QFIIs for the full period and sub periods 22 4.3 Evidence from difference-in-differences 24 4.4 QFII preferences and international risk environment 26 4.5 Regulatory changes and changes in QFII preferences 29 4.6 The effect of central versus local government ownership on QFII preferences 30 5 Conclusions 32 References 33 Appendix A Variable definitions 36
Rights: https://helda.helsinki.fi/bof/copyright

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