南北向资金流动与中国股票市场的动态关联分析  

Dynamic Correlation between Northbound and Southbound Funds Flows and Chinese Stock Markets

作　　者：湛东曈 董希勇 ZHAN Dong-tong;DONG Xi-yong(School of Systems Science,Beijing Normal University,Beijing 100875,China;School of Economics and Management,Shanxi University,Taiyuan 030006,China)

机构地区：[1]北京师范大学系统科学学院,北京100875 [2]山西大学经济与管理学院,山西太原030006

出　　处：《系统工程》2024年第2期141-150,共10页Systems Engineering

基　　金：山西省留学回国人员科技活动择优资助项目(20230004)。

摘　　要：沪港通和深港通是中国金融市场迈向国际化的一项重大创新政策。沪港通和深港通运行至今,北向资金和南向资金逐渐成为投资者的重点关注对象,特别是北向资金的动向往往被看成是市场行情好坏的风向标。本文使用ARMA-cDCC-FIGARCH模型,探究北向及南向资金流动和上证指数、深证成指与恒生指数间的动态联动性。研究表明,北向资金流动和深证成指涨跌的相关性最强,北向资金流动和上证指数涨跌的相关性次之,而南向资金流动和恒生指数涨跌的相关性最弱。其中,北向资金和内地两个市场间的相关系数波动较小,而南向资金和恒生指数间的相关系数波动幅度较大。并且,三个股票市场和南北向资金流动均存在长期记忆性特征。研究结果对于维护国家金融体系稳定,制定针对性的监管政策,以及促进资本市场发展具有重要的现实意义。The Shanghai-Hong Kong Stock Connect and the Shenzhen-Hong Kong Stock Connect is a major innovative policy for China's financial market to move towards internationalization. Since the operation of Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect, northbound and southbound funds are gradually becoming the focus of investors' attention. In particular, the trend of northbound funds is often regarded as the weather vane of market conditions. In this paper, we explore the dynamic correlation between northbound and southbound funds flows and Shanghai Stock Exchange Composite Index, Shenzhen Component Index and Hang Seng Index using the ARMA-cDCC-FIGARCH model. The results shows that the correlation between northbound flows and Shenzhen Component Index is the strongest, the correlation between northbound flows and Shanghai Stock Exchange Composite Index is the second strongest, while the correlation between southbound flows and the Hang Seng Index is the weakest. Among them, the correlation coefficient between northbound funds and the mainland two markets fluctuates relatively little, while the correlation coefficient between southbound funds and the Hang Seng Index fluctuates significantly. Moreover, long memory characteristics are present in all three stock markets and northbound and southbound funds. The results of the study are of great practical significance for maintaining the stability of the national financial system, formulating targeted regulatory policies and promoting the development of the capital market.

关 键 词：股票市场 南北向资金 动态关联 ARMA-cDCC-FIGARCH模型 

分 类 号：F830[经济管理—金融学]