Empirical Analysis of Impacts of QFII Trading Strategies on Stock Returns

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 contrarian 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.