自中国引入QFII（合格境外机构投资者）制度以来，QFII 基金的“巨额 收益”与“神秘持仓”一直广受关注。本文以QFII 制度的建立和历次改革为 背景，通过建立投资现金流敏感性模型，研究QFII 对中国上市公司投资现金 流敏感性的影响。结果表明，QFII 制度的建立和历次改革确实可以显著降低 上市公司的投资现金流敏感性。而且，QFII 制度的建立和历次改革对上市公 司投资现金流敏感性的影响不尽相同，且这些制度改革不能完全消除这种低 效率融资现象。此外，QFII 对不同类型公司投资现金流敏感性减弱程度存在 差异：其对资产规模较大或被其多次重仓持有的公司投资现金流敏感性的减 弱程度更加显著。

Since China introduced the Qualified Foreign Institutional Investor (QFII) scheme, QFII funds’ “high returns” and “secret holdings” have long attracted attention. This paper is written against the background of the establishment and reforms of the QFII scheme. It builds a model for investment cash flow sensitivity (ICS) to analyze QFII scheme’s influence on ICS for listed firms in China. The result shows that QFII scheme’s establishment and reforms can indeed significantly reduce ICS for listed firms; the influence is not identical; and the reforms cannot completely eliminate low-efficiency financing. Besides, QFII cannot equally reduce ICS for different types of firms: its influence of reducing ICS is more significant for firms whose sizes are large or which have been highly held by QFII funds for many times