北向资金持股比例变化和股票交易的交互影响研究——基于面板VAR模型的实证分析  

Research on the Interaction Between Changes in Shareholding Ratios of Northbound Funds and Stock Trading: Based on Empirical Analysis of PVAR Model

作　　者：沈立 王小雅 李蕴霏 孙晔 SHEN Li;WANG Xiaoya;LI Yunfei;SUN Ye(China Asset Management Co.,Ltd.,Beijing 100032,China)

机构地区：[1]华夏基金管理有限公司,北京100032

出　　处：《金融理论与教学》2024年第1期83-88,共6页Financial Theory and Teaching

摘　　要：随着中国资本市场对外开放程度的扩大,北向资金对A股市场的影响不容忽视。研究通过面板向量自回归模型(PVAR),考察了北向资金在A股持股比例的变化对股票交易的影响。研究结果表明:北向资金持股比例的变化和股票超额收益率互为格兰杰原因;北向资金在短期内能够对股票超额收益率、波动率产生显著的影响,但影响稍纵即逝。据此研究认为,投资者应当树立正确的投资观念,避免盲目追逐热点。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 

分 类 号：F832.48[经济管理—金融学]