普通投资者追踪北上资金能获利吗?

Can Ordinary Investors Profit from Tracking Northbound Funds?

北上资金是A股市场的重要资金主体,对投资者的投资决策具有重要影响。本文从资金流动的角度出发,采用沪深股通1237家上市公司2018—2021年的97万条日交易数据,研究了普通投资者与北上资金的交易策略。实证结果表明,北上资金具有短期和长期复合的交易策略;北上资金长期交易具有逆趋势的价值投资属性,短期交易具有顺趋势的市场炒作属性;普通投资者虽然能够追踪北上资金进行投资,但由于“有限关注”,投资者无论在短期还是长期投资中都很难获利。机制研究表明,北上资金获利的重要机制源于择时交易的特性。本文的研究对于完善我国A股市场监管体系和保护投资者利益具有重要的启示意义。

Northbound funds are an important source of capital in the A-share market and have a significant impact on investors’investment decisions.From the perspective of capital flow,this paper uses 970,000 daily transaction data of 1237 listed companies in Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect from 2018 to 2021 to study the trading strategies of ordinary investors and northbound funds.The empirical results show that northbound funds have a short-term and long-term composite trading strategy.Northbound funds’long-term trading has a contrarian value investing attribute,while their short-term trading has a trend-following market speculation attribute.Although ordinary investors can track northbound funds for investment,they have difficulty making profits in both short-term and long-term investments due to“limited attention”.The mechanism study shows that the important mechanism for northbound funds to make profits lies in the characteristics of market timing.This paper has important implications for improving the regulatory system of China’s A-share market and protecting investors’interests.