指南针指引：中国资本北上流动与投资集聚

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance Pub Date : 2025-02-17 DOI:10.1016/j.jimonfin.2025.103305

Yunbi An , Zhao Chen , Clement Man Yiu Liu , Qingfu Liu , Chuanjie Wang

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引用次数: 0

摘要

本文研究了在沪深港通背景下，有界理性投资者追逐跨境资本流动的交易行为。通过这一渠道从香港流向中国大陆的资金被称为北向资本流动（NCF），在中国被广泛认为是聪明的资金。我们发现，中国大陆投资者对净NCF流量较大的股票表现出强烈的趋同倾向，投资者尤其倾向于追逐短期收益的贸易型NCF。我们表明，羊群行为是由于大量的NCF流动引起的投资者情绪增强。此外，NCF流出导致的羊群效应更加明显，对小盘股的投资集聚更加突出。此外，市场恐慌和股票信息的分散会缓解投资者的羊群行为。我们的研究为新兴市场国家跨境资本流动的经济后果提供了新的见解。

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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Compass guided: Northbound capital flow and investment clustering in China

We study the trading behavior of boundedly rational investors chasing cross-border capital flow in the context of the Shanghai-/Shenzhen-Hong Kong Stock Connect program. The capital flow from Hong Kong to mainland China via this channel, referred to as northbound capital flow (NCF), is widely recognized as smart money in China. We find that mainland Chinese investors exhibit a strong tendency to herd toward stocks with substantial net NCF flows, and investors are especially prone to herd around trade-oriented NCF that pursues short-term gains. We show that the herd behavior is due to enhanced investor sentiment induced by substantial NCF flows. In addition, NCF outflows lead to a more pronounced herding effect, and investment clustering in small-cap stocks is more prominent. Moreover, market panic and the dispersion of stock information mitigate investor herd behavior. Our research provides new insight into the economic consequences of cross-border capital flows in emerging market countries.

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来源期刊

Journal of International Money and Finance BUSINESS, FINANCE-

CiteScore

4.20

自引率

4.00%

发文量

141

期刊介绍： Since its launch in 1982, Journal of International Money and Finance has built up a solid reputation as a high quality scholarly journal devoted to theoretical and empirical research in the fields of international monetary economics, international finance, and the rapidly developing overlap area between the two. Researchers in these areas, and financial market professionals too, pay attention to the articles that the journal publishes. Authors published in the journal are in the forefront of scholarly research on exchange rate behaviour, foreign exchange options, international capital markets, international monetary and fiscal policy, international transmission and related questions.