寻找“假北向”的踪迹

Looking for the Traces of Fake Northbound Funds

2024年伊始,国务院常务会议强调加强资本市场监管,打造规范透明的市场环境。自2014年沪股通、深股通相继开通以来,部分内地投资者在香港地区开设证券账户及北向交易权限,通过沪股通、深股通买卖A股,此类资金属于“假北向”。根据《内地与香港地区股票市场交易互联互通机制若干规定》(修订版),“假北向”于2023年7月24日后只能卖出A股,不能买入A股。本文以上述政策的生效为一个准自然实验,采用双重差分法寻找“假北向”流出沪深股通的蛛丝马迹。实证结果显示,2023年7月24日前后,实验组深股通股票的平均北向资金交易占比显著提高,而沪股通股票的平均北向资金交易占比未发生显著变化。结合北向资金净流入的数据判断,“假北向”借道深股通交易A股的现象较为严重,而借道沪股通交易A股的现象较为轻微。本文研究表明,修改版的内地与香港地区互联互通机制是一种预防性监管措施,斩断了潜在的违规操作风险,净化了A股市场的投资环境,具有非常积极的意义。

At the beginning of 2024,the State Council executive meeting emphasized the strengthening of capital market regulation and the creation of a standardized and transparent market environment.Since the opening of the Shanghai Stock Connect and Shenzhen Stock Connect in 2014,some mainland investors have opened securities accounts and northbound trading privileges in Hong Kong to buy and sell A-shares through the Shanghai Stock Connect and Shenzhen Stock Connect,which are“fake northbound”funds.According to the revised version of the“Certain Provisions on the Mainland/Hong Kong Stock Market Trading Interconnection Mechanism”,after 24 July 2023,“fake northbound”investors can only sell A-shares but not buy A-shares.In this paper,we use the effective date of the above policy as a quasi-natural experiment,and adopt the double-difference method to find out the traces of“fake northbound”outflow from Shanghai and Shenzhen stock exchanges.The empirical results show that around 24th July 2023,the average northbound trading ratio of Shenzhen stocks in the experimental group increases significantly,while the average northbound trading ratio of Shanghai stocks does not change significantly.Combined with the data on net northbound fund inflows,the phenomenon of“fake northbound”trading of A-shares through the Shenzhen Stock Connect is more serious,while the phenomenon of trading of A-shares through the Shanghai Stock Connect is less serious.This paper shows that the latest version of the interconnection mechanism between the Mainland and Hong Kong is a preventive regulatory measure that cuts off the risk of potential irregularities and purifies the investment environment of the A-share market,which is of great positive significance.