沪深港通对股票市场的短期影响
首发时间:2020-12-03
摘要:为了研究短期影响,本文选取去除趋势项之后的沪深港通北向资金买卖总额作为沪深港通的代理变量。研究发现,沪深港通北向资金买卖总额与沪深300指数超额收益同期正相关、随后负相关,这是因为沪深港通北向资金买卖总额具有很强的投资者情绪特征。在A股市场上涨下跌时沪深港通北向资金表现出了"追涨杀跌"的特征,加剧了股票市场的波动,虽然作用比较有限,这是因为A股市场是一个噪音交易者主导的资本市场,羊群效应明显,为沪深港通北向资金追涨杀跌提供了逐利空间。
For information in English, please click here
The short-term impact of the Shanghai-shenzhen-hongKong Stock Connect
Abstract:In order to studying the short-term impact ,this paper selects the total trading volume of the Shanghai-shenzhen-hongKong Stock Connect Northbond funds after removing the trend term as the proxy variable of the Shanghai-shenzhen-hongKong Stock Connect.The research finds the total trading volume of the Northbond funds is positively correlated with the excess return of the CSI 300 index in the same period,and then negatively correlated.This is because the total trading volume of the Northbond funds show strong investor sentiment characteristics. The research also finds when the A-share market rising and falling the Shanghai-shenzhen-hongKong Stock Connect Northbond funds show characteristics of "buying the winners" ,which increase the volatility of the stock market,although the effects are limited.This is because the A-share market is dominated by noise traders,with obvious herd effect,which providers a profit-seeking space for the Shanghai-shenzhen-hongKong Stock Connect Northbond funds.
Keywords: Quantitative economics Stock connect Investor sentiment GARCH-M
基金:
引用
No.****
动态公开评议
共计0人参与
勘误表
沪深港通对股票市场的短期影响
评论
全部评论0/1000