Foreign investors’ trading and earnings in China’s stock market ——Evidence from Shanghai-Shenzhen Stock Connect

Based on the trading data of Shanghai-Shenzhen Stock Exchanges from 2017 to 2020, we study whether foreign investors’ trading strategies have an impact on China’s A-share earnings. The results show that the net inflow of foreign capital is positively correlated with the return of A-share, and foreign capital prefers high-quality Chinese stocks. Foreign investors can operate accurately, buying at a low price and selling at a high price; A-share held by foreign investors can obtain excess earnings, and this effect will be amplified over time. This paper provides powerful inspiration for stock investors.