Can foreign investors accurately operate and obtain excess returns? Evidence from China

IF 2.2 3区经济学 Q2 ECONOMICS

Post-Communist Economies Pub Date : 2023-05-07 DOI:10.1080/14631377.2023.2209301

Muhammad Jameel Hussain, S. Huang, Junbao Li

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Abstract

ABSTRACT This study examines the influence of foreign investors’ trading strategies on the earnings of China’s A-shares based on trading data from Shanghai-Shenzhen Stock Exchanges during the period of 2017 to 2020. The findings indicate a positive association between the net inflow of foreign capital and A-share returns, with foreign investors showing a preference for high-quality stocks in China. Additionally, foreign investors demonstrate precision in their operations, by purchasing stocks at low prices and selling them at high prices. Moreover, A-shares held by foreign investors show an ability to generate excess earnings, which can further amplify over time. Additional analyses suggest that when the A-share index rises, foreign investors sell significantly, but the buying volume is not significant; when the A-share index falls, foreign investors buy significantly, but the selling volume is not significant. When Shanghai-Shenzhen Stock Connect is closed, foreign investors will choose to sell more on the previous trading day in order to reduce their losses. This article provides powerful enlightenment for stock investors.

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外国投资者能否准确操作并获得超额收益？来自中国的证据

摘要本研究基于2017年至2020年沪深交易所的交易数据，考察了外国投资者的交易策略对中国A股收益的影响。研究结果表明，外资净流入与a股回报率呈正相关，外国投资者对中国优质股票表现出偏好。此外，外国投资者通过低价购买股票和高价出售股票来证明其经营的准确性。此外，外国投资者持有的A股显示出产生超额收益的能力，随着时间的推移，超额收益可能会进一步放大。补充分析表明，当A股指数上涨时，外国投资者大幅抛售，但买入量并不显著；当A股指数下跌时，外国投资者大量买入，但卖出量并不显著。当沪深股市通关闭时，外国投资者会选择在前一个交易日卖出更多股票，以减少损失。本文为股票投资者提供了有力的启示。

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

Post-Communist Economies ECONOMICS-

CiteScore

4.90

自引率

18.20%

发文量

期刊介绍： Post-Communist Economies publishes key research and policy articles in the analysis of post-communist economies. The basic transformation in the past two decades through stabilisation, liberalisation and privatisation has been completed in virtually all of the former communist countries, but despite the dramatic changes that have taken place, the post-communist economies still form a clearly identifiable group, distinguished by the impact of the years of communist rule. Post-communist economies still present distinctive problems that make them a particular focus of research.