| Author: | Huang, Yufeng |
| Title: | 境外资金交易 A 股的市场效应分析 - 以北上资金为例 |
| Other Title: | The impact of foreign funds on the A-share market —evidence from northbound |
| Advisors: | 蒋励 (AF) |
| Degree: | D.Mgt. |
| Year: | 2024 |
| Subject: | Investments, Hong Kong -- China Stock exchanges -- China Stocks -- China Hong Kong Polytechnic University -- Dissertations |
| Department: | Faculty of Business |
| Pages: | 1 volume (various pagings) : illustrations |
| Language: | Chinese |
| Abstract: | 北上资金指的是通过陆股通从香港股市流入内地 A 股的资金。陆股通包括通过 “沪股通” 和 “深股通” 进入内地 A 股的资金。结合市场实务以及文献研究现状，本文利用 2018 年至 2022 年间北上资金的持仓情况研究两个问题，北上资金的投资行为分析以及北上资金的信号作用。本文提出假设，北上资金具有信号作用；北上资金的历史持股百分比越高，北上资金越有有可能具有信息优势，信号作用越强；对于有境内投资者持仓的公司，持股百分比对信号作用的影响更大；以及市场上可能的伪外资越多时，持股百分比对信号作用的影响更大。实证分析结果与上述假设一致。此外，本文还发现，在择股时，北上资金整体偏好以高市值，高 ROE，高净利润率为特点的绩优股票。最后，本文以北上资金流入流出为基础，构造交易策略，并发现该交易策略可形成盈利。 本文的理论贡献有三方面，一是将北上资金视作一个大体量的投资者，对其投资行为的研究丰富了已有的关于北上资金的理论研究。二是用历史持仓这一变量来兼顾北上资金的长短期投资行为。三是文章的相关结果将为投资者解读北上资金的交易行为提供帮助。 |
| Rights: | All rights reserved |
| Access: | restricted access |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 7802.pdf | For All Users (off-campus access for PolyU Staff & Students only) | 1.12 MB | Adobe PDF | View/Open |
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