The Relationship between Northbound Funds and Stock Excess Returns
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.
NETL
NSTL
万方数据
