Dynamic Analysis of The Impact of Northbound Funds On A-Share Market Based on VAR And GARCH Models
Year: 2025
Type: article
Abstract: 1 With the deepening of China's capital market opening to the outside world, northbound funds as an important channel for foreign investors to enter the A-share market, its scale and influence are increasing. Based on the VAR model and GARCH model, this paper divides the development process of northbound funds into two stages: growth stage and expansion stage, and analyzes its impact on the return rate and volatility of A-share market. It is found that the impact of northbound funds on A-share market presents dynamic evolution characteristics: in the growth period, northbound funds flow has no significant impact on the return rate and volatility of A-share market; In the expansion period, northbound fund flow has A significant impact on the A-share market yield and volatility, and the net purchase of northbound funds has A positive impulse response of 1-9 days on the A-share market yield. This shows that northbound funds have become the "weather vane" of market sentiment, and its investment style has an important impact on the trend of the A-share market.
DOI: 10.54097/535xp615
Authors: Yaru Jiang, Cong Lin, Zhaofei Wang
Institution: Ningbo University of Technology
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W4409648371