金融理论与教学2024，Vol.42Issue(1)：83-88,6.
北向资金持股比例变化和股票交易的交互影响研究
Research on the Interaction Between Changes in Shareholding Ratios of Northbound Funds and Stock Trading:Based on Empirical Analysis of PVAR Model
沈立 1王小雅 1李蕴霏 1孙晔1
作者信息
- 1. 华夏基金管理有限公司,北京 100032
- 折叠
摘要
Abstract
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.关键词
北向资金/股票交易/PVAR模型Key words
northbound funds/stock trading/PVAR model分类
管理科学引用本文复制引用
沈立,王小雅,李蕴霏,孙晔..北向资金持股比例变化和股票交易的交互影响研究[J].金融理论与教学,2024,42(1):83-88,6.
