Research And Analysis Of The Relationship Between Capital Flow And Stock Returns In China Based On SVAR Model

The maximum benefit is the ultimate goal of the investor,but the factors which affect the yield on the stock market are too numerous to enumerate.Experienced mega bull market and steep fall in the year of 2007 and 2008,and then quickly converted in 2015,more and more people pay attention to the study of stock yield.As the driving force of the market,the dynamic relationship between the capital flow and the return is closely concerned.The relevant date which we used in this thesis comes from the Oriental Wealth Choice financial terminal.Taking into account the impact of risk factors and financial factors on the yield,we set the beta value,market capitalization,price cash flow ratio,price to book ratio,annualized rate of return as the control variables,and the multiple regression model is established to analyze the capital flow on the yield.The results of research show that there is a significant positive correlation between the current and lagged capital flow and yield.Moreover,the inflow of capital will lead to an increase in the rate of return.Of course,the degree of influence and significance is increasing and the effect is short.We use the subsection regression method and the analysis method of panel data to test the robustness of the conclusions and investigate the differences between different industries.There are differences in the degree of impact on the yield of capital flow by industry.Also,media,computer and other industries have a greater impact on the flow of funds,so they can be used as the hot investment.This thesis is intended to explore the dynamic relationship between the capital flow and yield.Firstly,the complex emotion index is constructed based on the principal component analysis and correlation analysis,and the effects of earliness and lag are taken into account.Secondly,the industry is divided into the cyclical industry,the reverse cycle industry and the non-cyclical industry so as to study more efficiently.Of course,this division is based on the correlation between the date of industry capital flow and market yield.Finally,we study whether investor sentiment can explain and analyze the relationship between the yield and the capital flow by building SVAR(Structural Vector Auto Regression)model.Also,the model is built based on the actual condition of Chinese stock market and it is innovatively introduced to study the relationship between market returns and capital flow on the basis of statistical data in a weekly capital flow.Results show that there exists the negative correlation between vocational capitalflow and market returns,but the current effect is significantly positive and short-term,then going into a reversal.Also,the negative feedback hypothesis can explain the negative influence of vocational capital flow which caused by the market long-term yield.The impact of capital flow of different industries makes the different influence in market returns.In addition,market sentiment can explicate the relationship between market returns and vocational capital flow.