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From the perspective of industry life cycle, we examine the influence of variations in QFII shareholding tendency on the stock returns volatility of 19 industries in Chinese A share market by establishing GARCH, TARCH and EGARCH models. The analysis results show that: (1) There is a significant asymmetry in the returns volatility of A-shares of listed companies in the construction, manufacturing and real estate industries. EGARCH model can better reveal the impact of QFII shareholding differences on the stock returns volatility; (2) Compared to industries that have transited from growth to maturity or recession, QFII is more likely to hold those stocks of the growing industries such as finance and real estate in long run; (3) After the fourth expansion, the stock price volatility of the construction and the real estate industries has dropped by 0.02 and 0.08 percentage points respectively compared with the third expansion, while the impact on the manufacturing industry is not significant.

An Analysis of the Influence of QFII Shareholding Tendency on Stock Returns Volatility: from the Perspective of Industry Life Cycle