Proceedings of the 5th Management Science Informatization and Economic Innovation Development Conference, MSIEID 2023, December 8–10, 2023, Guangzhou, China

Research Article

Study on the Differential Impact of Northbound Capital on Different Sectors of the Stock Market

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  • @INPROCEEDINGS{10.4108/eai.8-12-2023.2344796,
        author={Zibo  Fan and Yueyan  Huang},
        title={Study on the Differential Impact of Northbound Capital on Different Sectors of the Stock Market},
        proceedings={Proceedings of the 5th Management Science Informatization and Economic Innovation Development Conference, MSIEID 2023, December 8--10, 2023, Guangzhou, China},
        publisher={EAI},
        proceedings_a={MSIEID},
        year={2024},
        month={4},
        keywords={northbound capital; var vector autoregressive model; sse 50; shanghai-hong kong stock connect},
        doi={10.4108/eai.8-12-2023.2344796}
    }
    
  • Zibo Fan
    Yueyan Huang
    Year: 2024
    Study on the Differential Impact of Northbound Capital on Different Sectors of the Stock Market
    MSIEID
    EAI
    DOI: 10.4108/eai.8-12-2023.2344796
Zibo Fan1, Yueyan Huang1,*
  • 1: North China University of Technology
*Contact email: 1057531696@qq.com

Abstract

As an increasingly important participant in the A-share market, northbound funds have received extensive attention from market investors in recent years. The rapid flow of funds between Hong Kong and the mainland has gradually highlighted the reciprocal influence of northbound funds and different sectors of the stock market. By building a VAR model, this paper finds that there is a significant Granger causality between the net buying of northbound funds and the SSE 50 index, which have a significant effect on each other in a lagged four-period VAR model. This study provides time-sensitive guidance for examining whether there is a tendency of localisation of capital flows between Shanghai and Hong Kong, and whether the information disclosure of the stock markets of the two places is perfect, which facilitates the regulators to examine the reasonableness of the policies, and also provides investors with certain forward-looking basis in understanding the operation mechanism of the capital market.