The Study Of The Capital Flows From Stock Connect Impact On The Excess Returns And Volatility

With the development of global economic integration,the integration of capital securities markets of various countries is an inevitable trend.In recent years,the birth of the stock connection between mainland exchange and HK exchange has promoted the optimization of the function of global resource allocation in China 's capital securities market and further enhanced the effectiveness of China 's capital market.So far,the mutual stock connection mechanism has been implemented over five years,and the interconnection mechanism has gradually matured.Along with the offshore capital inflows into mainland exchange have gradually increased.the holding share value increased as well.In the past 5 years,the offshore investor has achieved excellent excess return and its capital flows was named "smart money" forming a "herding effect".The article will study the relationship among the offshore capital flows,excess return and volatility on the perspective of market participants and supervision.The paper selects daily the offshore capital flow,daily excess returns and stock price volatility from January 1,2017 to June 30,2019 as the data sample,while adding macroeconomic indicators,interest rate indicators,foreign exchange Indicators,market sentiment indicators and other control variables,through the panel regression model,analyze the relationship between the excess return rate and volatility of the offshore fund.Empirical results show that the offshore capital flow of individual stocks on the day is significantly positively correlated with the next day's excess return rate.The northward capital plays a guiding and pricing role in China's capital market,forming a certain "herd effect";the volatility of northward capital and individual stocks significantly negative correlation,play with a "stabilizer" role in the capital market,indicating that the opening of the mutual Stock Connect has a positive effect on China's capital market.