Research on the Interaction Between Changes in Shareholding Ratios of Northbound Funds and Stock Trading:Based on Empirical Analysis of PVAR Model
As the capital market in China is opening up to the outside world,effects from northbound funds on the A-share market cannot be ignored.This study applies the panel vector autoregressive model(PVAR)to examine impacts of changes in the shareholding ratio of northbound funds in A-shares on stock trading.It turns out that changes in the shareholding ratio of northbound funds and stock excess returns are Granger causes for each other.Although northbound funds can have significant effects on stock excess returns and volatility in the short term,the impact period is quite short.Based on results above,investors should establish correct investment ideas and avoid chasing trends without any logic.
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