北向资金和个股超额收益率的关系——基于高频数据的实证探索

The Relationship between Northbound Funds and Stock Excess Returns--Based on Empirical Research of High-Frequency Data

随着中国资本市场的逐步开放,北向资金对A股市场的影响愈发深刻。本文采用沪深两市2018~2023年日度数据,考察北向资金持股比例变化对股票的超额收益率的影响。研究发现,北向资金持股比例变化和股票超额收益率存在显著的正相关性,且带来了传统风险因子之外的收益,但持续时间较短;根据Fama-MacBeth回归结果,北向资金持股比例变化是影响股票收益率重要的风险因子。在不断开放资本市场时,注意到北向资金给股市造成的冲击,维持股市稳定发展。

With the gradual opening-up of China's capital market to the outside world,northbound funds are exerting more and more important effects on China's A-share market.We exploit daily stock data in Shanghai and Shenzhen stock markets from 2018 to 2023 in order to study effects of changes in shareholding ratios by northbound funds on stock excess returns.Conclusions are as follows.First of all,there exists a significantly positive relationship between changes in shareholding ratios by northbound funds and stock excess returns.Secondly,stocks whose shareholding ratios are increased by northbound funds are able to achieve abnormal returns besides common risk factors.However,the effective duration for the positive relationship is short.Last but not least,we prove that the shareholding ratio by northbound funds is a statistically import risk factor which can bring positive risk premiums in the Fama-MacBeth two-step regression.During the process of opening-up China's capital market,attention must be paid to shocks to China's A-share market in order to keep the stock market as stable as possible.