{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,1]],"date-time":"2026-10-01T16:03:38Z","timestamp":1790870618452,"version":"4.1.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Whether foreign investors bring information to emerging equity markets is central to the evaluation of capital-market opening. Using 1,790 trading days from January 2017 to August 2024, this study relates daily CSI 300 returns to the buy\u2013sell imbalances of northbound Stock Connect investors and of large and small orders on the Shanghai and Shenzhen exchanges. All 3 imbalances are strongly associated with same-day returns, jointly explaining 29.2% of return variation, but their dynamics differ sharply. A 1-standard-deviation northbound shock raises returns by 42 basis points on impact and by a further 12 basis points on the next day without reversal, whereas about 36% of the same-day effect of large-order imbalance reverses within 2 sessions, and small-order imbalance mainly mirrors large orders as their counterparty. Northbound persistence and predictability disappear after domestic macroeconomic and FOMC releases, while same-day flow\u2013return relations strengthen on release days, particularly for PBOC operations. Northbound predictability more than doubles in high-volatility regimes. Out of sample, flow-based forecasts achieve an out-of-sample R2 of 0.78% and a Clark\u2013West statistic of 3.12, and a futures strategy based on them earns a Sharpe ratio of 0.88 net of costs, against 0.69 for buy-and-hold. The evidence indicates that foreign flows convey information that public announcements subsequently reveal, with implications for market opening and the disclosure of cross-border trading data<\/jats:p>","DOI":"10.2139\/ssrn.7549209","type":"posted-content","created":{"date-parts":[[2026,10,1]],"date-time":"2026-10-01T15:39:22Z","timestamp":1790869162000},"source":"Crossref","is-referenced-by-count":0,"title":["Northbound Stock Connect flows, size-classified order imbalances and return discovery around monetary-policy and macroeconomic announcements in China's A-share market"],"prefix":"10.2139","author":[{"given":"Muhammad","family":"Umair","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Minghao","family":"Qian","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,1]],"date-time":"2026-10-01T15:39:22Z","timestamp":1790869162000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7549209"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7549209","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}