Is the capital floating from Hong Kong to Mainland China smart?

Chengying He, Xiaoxu Geng and Binchu Pan
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Chengying He: Business School of Guangxi University, Nanning, Guangxi 530004, P. R. China
Xiaoxu Geng: Business School of Guangxi University, Nanning, Guangxi 530004, P. R. China
Binchu Pan: Business School of Guangxi University, Nanning, Guangxi 530004, P. R. China

International Journal of Financial Engineering (IJFE), 2021, vol. 08, issue 02, 1-23

Abstract: This paper uses the methods of portfolio analysis, sharpe ratio, market value size grouping, and asset pricing model to study whether Northbound Capitals are smart funds. The results show that the return rate of Northbound capital outflow of stocks underperforms the index, while the return rate of continuous inflow stocks outperforms the index, and large-scale market capitalization stocks have received the highest returns. Also, this paper finds that the stocks that continue to flow in Northbound Capital have significant excess returns. Therefore, Chinese investors can learn from the investment methods of Northbound Capital to improve their investment level.

Keywords: Northbound capital; long and short hedging portfolio; asset pricing model (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1142/S2424786321410097

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