Foreign Capital in the Chinese Stock Market: A Firm-Level Study
利用2016至2019年所有外资在中国股市的每日交易数据，研究发现外资订单流能预测未来股票收益，表明外资可能掌握信息，并能有效处理本地企业信息。
Abstract Using a proprietary data set covering all foreign investors’ daily trades in the Chinese stock market from 2016 to 2019, we find that foreign order flows, facilitated by regulatory liberalization through several channels, present strong predictive power for future stock returns, implying that these order flows are likely informed. We track the source of this informativeness and find that foreign order flows significantly predict firm-level news and news-day returns, suggesting that foreign investors can effectively process local firm information. Finally, we find that regulatory reforms that generally relax investment access requirements further improve foreign investors’ predictive power.