北向资金与境内股票市场流动性——基于高频数据的传导机制

Northbound Funds and the Domestic Stock Market Liquidity:Based on Transmission Mechanisms of High Frequency Data

资本市场流动性充足是建立全国统一大市场、促进国内与国际双循环相互协调发展的内在要求。如何利用北向资金提升境内股市流动性以更好服务实体经济迫在眉睫。本文采用2017—2021年沪深两市日数据,运用中介效应模型检验其传导机制。研究发现北向资金进出整体提高了股票流动性,得益于信息机制与竞争机制:北向资金具有示范效应,通过信息机制吸引境内投资者跟风;通过竞争机制引入内资对手盘,促进价格发现。但同时,北向资金也可能损害流动性:配置型持股通过筹码机制降低活跃交易;激进交易行为通过交易机制造成价格冲击。北向资金在极端行情中逆势交易承接流动性,展现出成熟市场理性投资者行为;在持续大幅进出阶段对流动性又具有割韭菜倾向。进一步提升境内股市流动性质量有待拓宽北向资金进入渠道、提高北向资金进入比例,对沪深两市采取差别化政策;抑制直接传导机制的负效应乃至将其转化为正效应;建立风险预警体系,防范化解北向资金进出过程中的风险;教育内资学习其对流动性逆势操作的成熟经验,提升风险驾驭能力。

The capital market with sufficient liquidity is necessary for the establishment of a unified national market to promote the dual circulation of domestic and foreign markets.It is urgent to enhance domestic stock market liquidity with northbound funds to serve the real economy better.Northbound funds refer to the funds that flow from Hong Kong to the Shanghai and Shenzhen stock markets.There are,so far,few literatures about the influence of northbound funds trading on the liquidity of domestic securities market from the perspective of mutually reinforcing domestic and international economic flows.It is a mystery how northbound funds affect liquidity in the domestic stock markets.This paper uses the daily data of listed companies in the Shanghai and Shenzhen Stock Markets from 2017 to 2021 to evaluate the liquidity from two dimensions:the Amihud measure and the bid-ask spread.We secondly construct four mechanisms of locking mechanism,trading mechanism,information mechanism and competition mechanism,and test the transmission mechanisms between northbound funds and the liquidity of domestic stock market in the normal situation with mediation models.We further investigate the changes of transmission mechanisms in cases of the extreme price movements or the huge continuous flow.We analyze the heterogeneity of the response mechanism of liquidity in the two stock markets.The research shows that northbound funds have become a non-negligible trading force in the A-share market,and the liquidity of domestic stock market has been significantly improved by the introduction of northbound funds.But northbound funds are a double-edged sword.Information mechanism and competition mechanism can improve liquidity under normal circumstances.Specifically,information mechanism is that northbound funds attract domestic investors to follow suit through demonstration effect,and competition mechanism is that northbound funds enhance liquidity by luring the counterparty.However,locking mechanism and trading mechanism hurt stock liquidity.The former illustrates that the allocation demand of northbound funds reduces the marketable chips,which decreases stock liquidity.The latter shows that northbound funds are manifestly aggressive,leading to the deterioration of liquidity through the market order.In the extreme conditions,the northbound funds trading have reverse effect to the liquidity.Contrary to the normal conditions,the trading mechanism has the positive effect on the liquidity.Northbound funds act as rational liquidity providers through countertrend trading because they are willing to accept selling pressure when the market is extremely depressed and exit in time when the market is overheated.In the case of the huge continuous flow,northbound funds may cause the domestic investors to be ripped off.The heterogeneity is that locking mechanism proves to be significant only in Shenzhen Connect,whereas trading mechanism only exists in Shanghai Connect.The following measures should be taken to enhance the liquidity of the domestic securities market:(1)Appropriately increase the proportion of northbound funds entering the domestic market,and adopt differentiated policies for Shanghai and Shenzhen Connect;(2)Suppress the negative effect and promote its transformation to the positive effect;(3)Strengthen risk warning and prediction to reduce the risk of mainland funds'being ripped off;(4)Teach domestic investors to master mature skills of countertrend trading to improve their ability to control risks.The contributions of this paper are as follows.(1)We are the first to incorporate Shanghai and Shenzhen connect and use large sample daily data to study the impact of northbound funds on domestic stock market liquidity by constructing two indicators.(2)We take the lead in designing four mechanisms to effectively uncover the mysterious transmission paths of northbound funds'impact on the liquidity of domestic stock market.(3)We introduce two special situations to analyze the changes of the transmission mechanisms from a new perspective.(4)We combine the circulation of overseas and domestic funds to analyze the liquidity of the domestic stock market with mediation model.(5)The conclusions have important guiding significance to improve the liquidity of domestic stock market with high quality.