| In recent years,promoting the opening of China’s capital market has been the focus of China’s economic reform,with the implementation of the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect,and the further abolition of the QFII quota management,gradually promote the capital market capital flow,unblock the flow of capital.The gradual opening of the capital market promotes the ability of funds to trade in different markets,which greatly enhances the investment choices of investors and makes it easier for rational investors to obtain investment information from different markets and build more reasonable portfolios,which can promote the improvement of market effectiveness.The establishment of Shenzhen-Hong Kong Stock Connect mainly hopes that investors can better share the development and quota of the two places,and meet the diversified cross-border investment and risk management needs of investors by further expanding the interconnection of the mainland and Hong Kong stock markets,but at the same time,it also increases the information processing costs of investors in making investment choices,which will make investors show certain investment tendencies when investing and will have a certain effect on the policy of Shenzhen-Hong Kong Stock Connect The implementation of the policy of Shenzhen-Hong Kong Stock Connect will be hindered to a certain extent,making it impossible to achieve the desired degree.As the North-South capital is getting more and more attention from investors,the study from the information processing mechanism can also have some reference significance for investors who are involved in stock market investment decisions.Therefore,this paper focuses on North-South capital flows to study market investment returns and introduces local preference theory to explain them.The article mainly adopts a combination of theoretical and empirical research methods to explore the impact of capital flows on market returns.Since the average market capitalization of SZSE stocks is smaller and the level of trading and activity is higher compared with that of SSE stocks,the proportion of small-cap stocks in the SZSE underlying is higher and the volatility of investment is greater and more extensive.Therefore,daily data for a total of five and a half years from December2016 to December 2021 after the opening of the Shenzhen-Hong Kong Stock Connect are selected.Firstly,we investigate whether there is a difference between AH and nonAH stocks in Shenzhen,and whether there is a difference between AH and non-AH stocks in Hong Kong,and whether there is market asymmetry before and after the opening of Shenzhen-Hong Kong Stock Connect,and secondly,we use ShenzhenHong Kong Stock Connect as the main research object,the excess return rate of duallisted stocks in Shenzhen-Hong Kong Stock Connect as the dependent variable,and the southward capital flow and northward capital flow as the independent variables,and add the local preference theory to The results are explained from the perspective of information reception and processing.The empirical study is conducted by descriptive statistics,stationarity test,multicollinearity test,normality test,t-test,and mixed regression.The empirical study finds that: 1.In the study of excess returns of AH stocks listed in Shenzhen and Hong Kong,there are significant differences between AH stocks and non-AH stocks in the Shenzhen market,and similarly,in the Hong Kong market,there are significant differences between AH stocks and non-AH stocks participating in the Shenzhen-Hong Kong Stock Connect,and there is asymmetry in the market;2.In the study of the impact of capital flows on stock market returns,at the macro level,since the North-South capital flows not only includes not only Shenzhen-Hong Kong Stock Connect,but also Shanghai-Hong Kong Stock Connect related stock market trading capital flows,after the study,at the overall level,NorthSouth capital flows show significant correlation with both AH stock excess returns and non-AH stock excess returns,which cannot prove the existence of differences and cannot prove that North-South capital flows are more correlated with AH stock market excess returns;3.From the regression results of capital flow breakdown,Shenzhen-Hong Kong Stock Connect capital outflows have a significant correlation on stock market returns have a significant correlation effect,while the regression comparison results for non-AH stocks conclude that in Shenzhen financial market and Hong Kong financial market,negative southward and northward capital flows show a significant correlation effect on AH stocks,but no significant correlation effect on non-AH stocks with local preference tendency,but positive southward capital flows do not show a significant difference in effect on AH and non-AH stocks.On the basis of this study,corresponding suggestions are given to individual investors as well as regulators. |
PDF Full Text Request