Southbound capital flows and stock return predictability

IF 5.3 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal Pub Date : 2025-07-31 DOI:10.1016/j.pacfin.2025.102887

Tian Ding , Wenjing Song , Jiangze Bian , Ge Zhang

引用次数: 0

Abstract

This paper examines the impact of southbound cross-border capital flows on stock returns in the Hong Kong stock market. The study finds that southbound capital flows can significantly predict short-term returns on Hong Kong stocks. After adjusting for the Fama-French five-factor model, a weekly rebalancing long-short portfolio can achieve an annualized return of up to 25.84 %. This result remains robust in both predictive panel regression and Fama-MacBeth regression. Further mechanism tests indicate that the predictive power of southbound capital flows is primarily driven by demand shocks.

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南向资本流动与股票收益可预测性

本文研究南下跨境资本流动对香港股市股票收益的影响。研究发现，资本南下流动对港股短期收益有显著预测作用。根据Fama-French五因素模型进行调整后，每周重新平衡多空投资组合的年化回报率最高可达25.84%。这一结果在预测面板回归和Fama-MacBeth回归中都是稳健的。进一步的机制检验表明，资本南下的预测能力主要受到需求冲击的驱动。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.