{"title":"北向资本流动与中国股市表现的时变互动关系","authors":"","doi":"10.1016/j.frl.2024.106076","DOIUrl":null,"url":null,"abstract":"<div><p>This study employs the SV-TVP-SVAR model to investigate the dynamic interactions between northbound capital and stock market performance in China, highlighting the time-varying statistical relationships. The findings reveal that the influence of market returns on northbound capital is predominantly short-term, exhibiting negative feedback, which helps stabilize the market during periods of extreme volatility. However, during market reversals, northbound capital shows positive feedback, correlating with improving stock returns. Regarding predictability, while northbound capital provides some predictive power for stock returns, this influence diminishes quickly. The study further notes that retail investors tend to imitate the high-frequency trading patterns of northbound capital.</p></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":null,"pages":null},"PeriodicalIF":7.4000,"publicationDate":"2024-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The time-varying interaction of northbound capital flows and stock market performance in China\",\"authors\":\"\",\"doi\":\"10.1016/j.frl.2024.106076\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>This study employs the SV-TVP-SVAR model to investigate the dynamic interactions between northbound capital and stock market performance in China, highlighting the time-varying statistical relationships. The findings reveal that the influence of market returns on northbound capital is predominantly short-term, exhibiting negative feedback, which helps stabilize the market during periods of extreme volatility. However, during market reversals, northbound capital shows positive feedback, correlating with improving stock returns. Regarding predictability, while northbound capital provides some predictive power for stock returns, this influence diminishes quickly. The study further notes that retail investors tend to imitate the high-frequency trading patterns of northbound capital.</p></div>\",\"PeriodicalId\":12167,\"journal\":{\"name\":\"Finance Research Letters\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":7.4000,\"publicationDate\":\"2024-09-07\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Finance Research Letters\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1544612324011061\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Finance Research Letters","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1544612324011061","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
The time-varying interaction of northbound capital flows and stock market performance in China
This study employs the SV-TVP-SVAR model to investigate the dynamic interactions between northbound capital and stock market performance in China, highlighting the time-varying statistical relationships. The findings reveal that the influence of market returns on northbound capital is predominantly short-term, exhibiting negative feedback, which helps stabilize the market during periods of extreme volatility. However, during market reversals, northbound capital shows positive feedback, correlating with improving stock returns. Regarding predictability, while northbound capital provides some predictive power for stock returns, this influence diminishes quickly. The study further notes that retail investors tend to imitate the high-frequency trading patterns of northbound capital.
期刊介绍:
Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies.
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