资本市场开放与Knight不确定性——基于北向资金交易行为的实证分析  

Capital Market Liberalization and Knight Uncertainty—An Empirical Analysis Based on the Trading Behavior of Northbound Fund

作　　者：李洋 熊熊[2] 孟永强[2] LI Yang;XIONG Xiong;MENG Yongqiang(School of Economic&Management,Shanghai Maritime University,Shanghai 201204;College of Management and Economics,Tianjin University,Tianjin 300072)

机构地区：[1]上海海事大学经济管理学院,上海201204 [2]天津大学管理与经济学部,天津300072

出　　处：《系统科学与数学》2024年第10期3011-3024,共14页Journal of Systems Science and Mathematical Sciences

基　　金：国家自然科学基金青年科学基金项目(72201190);国家自然科学基金专项项目(72141304);国家重点研发计划重点专项(2022YFC3303304)资助课题。

摘　　要：境外投资者在中国资本市场中作用日益增强,北向资金流向一直是投资者重点关注的市场风向标.文章基于北向资金持股数据构建北向资金交易行为指标,利用日内高频价格数据构建个股Knight不确定性指标,探究北向资金交易行为对Knight不确定性的影响,实证结果表明:北向资金持股比例越高,个股Knight不确定性越低:北向资金持股比例变化幅度越大,个股Knight不确定性越高.进一步研究发现,北向资金降低股价Knight不确定的作用机理包括抑制噪声交易影响、提升信息融入速度和提升投资者信心渠道.研究结论支持北向资金持股有利于降低个股Knight不确定性,对维护市场稳定发挥了积极作用,但北向资金的大进大出也会增加个股不确定性风险.Foreign investors are playing an increasingly important role in China's capital market,and the flow of northbound fund has always been the market indicator that investors focus on.This paper measures the trading behavior of northbound fund based on the data of northbound fund holdings,calculates the Knight uncertainty of stocks based on intraday high-frequency price data,and explores the impact of trading behavior of northbound fund on Knight uncertainty.The empirical results show that the higher the shareholding ratio of northbound funds,the lower the Knight uncertainty.The greater the change in shareholding ratio of northbound funds,the higher the Knight uncertainty.Further research shows that the mechanisms of northbound funds'reduction in Knight uncertainty include restraining the impact of noise trading,improving the speed of information integration,and enhancing investors'confidence.The research conclusion supports northbound fund holdings is conducive to reducing the Knight uncertainty of stocks,and plays a positive role in maintaining market stability,but the large inflow and outflow of northbound fund will also increase the risk of stock price uncertainty.

关 键 词：资本市场开放 北向资金 交易行为 KNIGHT不确定性 

分 类 号：F832.51[经济管理—金融学]