运筹与管理2024，Vol.33Issue(3)：226-233,8.DOI:10.12005/orms.2024.0102
基于北向资金动向的股指收益率预测研究
Research on Predictability of Stock Index Return Based on Northward Funds Movement
摘要
Abstract
The Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connect mechanisms were launched in November 2014 and December 2016,respectively.This marked a significant breakthrough in the liberalization process of China's capital market,reducing the barriers for foreign investors to participate in the mainland stock market and attracting more and more foreign investors(that is,investors involved in northbound trading)to invest in the Shanghai and Shenzhen stock markets.The mature investment concept brought by these foreign investors not only helps to improve the structure of mainland investors,but also contributes to the full play of the stock market's price discovery function and enhancing the overall market efficiency.The existing research mainly focuses on the influence of foreign investors on stock price pricing efficiency,stock price collapse and stock price volatility under the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect mechanisms,but does not investigate whether foreign investors can predict the return on stock market.In fact,compared with mainland investors,foreign investors involved in northbound trading have comparative advantages in information collection,information analysis and processing,and mine more information that has not been reflected in the stock market to obtain a higher return.Therefore,from the perspective of information,this paper studies the ability of foreign investors'capital movements to predict stock market returns. This paper takes the Shanghai Composite Index(SHCI)and Shenzhen Composite Index(SZCI)during the period from November 17,2015 to December 31,2020 as the sample,adopts in-sample regression prediction models,out-of-sample R2 statistics and encompassing tests to investigate the ability of northbound fund movement(NCM)to forecast future excess returns of stock markets.The empirical results show that the movement of north-bound funds can effectively predict excess returns of stock markets in next 2,5,10 and 20 trading days,and its predictive power is robust to Granger causality test,different funds movement measurement and different test samples.On this basis,this paper uses a combination of dividend discount model and VAR model to analyze the economic source of NCM's forecasting ability.The results show that NCM's forecasting ability mainly comes from foreign investors'ability to analyze and process future cash flow information.Finally,using the predictive power of NCM,we construct a quantitative timing-strategy.It is found that NCM timing-strategy can have good investment performance in the holding period of next 2,5,10 and 20 trading days. Compared with previous studies,this paper mainly has the following contributions:First,different from the existing literature,this paper finds that northbound fund has excellent forecasting ability for future stock market returns,and finds out the economic source of NCM's forecasting ability,which expands the existing research on the predictability of Chinese stock market returns.Second,the existing studies mainly focus on the impact of foreign investors on stock pricing efficiency,stock price crash and stock price volatility under the Shanghai-H long Kong Stock Connect and Shenzhen-Hong Kong Stock Connect mechanisms.This paper starts from their informa-tion mining ability and finds that northbound fund contains additional predictive information that is not available to predictive variables such as margin financing and short selling,which can effectively predict the return of the stock index.Thus,it enriches the research on the economic consequences of foreign investors'information mining ability.Third,this paper constructs quantitative timing strategies based on northbound funds movement,and finds that these investment strategies can have good investment performance in the holding period of 2,5,10 and 20 days,which can provide support for investors to construct quantitative strategies and manage stock market risk.关键词
北向资金/收益可预测性/经济解释/经济价值Key words
northbound funds/return predictability/economic explanation/economic value分类
管理科学引用本文复制引用
傅俊辉,余洲啸,刘玉芳..基于北向资金动向的股指收益率预测研究[J].运筹与管理,2024,33(3):226-233,8.基金项目
国家自然科学基金资助项目(71631005,71401151) （71631005,71401151）
浙江省自然科学基金项目(LQ21G010005) （LQ21G010005）
教育部人文社会科学研究规划基金项目(19YJA790013) （19YJA790013）
