双因子驱动下的A股风格轮动机制研究

Group 1 - The article reveals the driving mechanism of foreign capital behavior and the dollar liquidity cycle on the differentiation of value and growth styles in A-shares through a dual-factor model of cross-border capital flow and global liquidity [23] - Cross-border capital flow framework indicates that the expansion of interest rate differentials and the surplus in the current account attract foreign capital to allocate to fundamentally strong large-cap value stocks [23] - Global liquidity spillover driven by the Federal Reserve's easing policies significantly enhances the valuation elasticity of small-cap growth stocks by lowering financing costs and increasing risk appetite [23] Group 2 - Since the launch of the Shanghai-Hong Kong Stock Connect in 2014 and the Shenzhen-Hong Kong Stock Connect in 2016, foreign capital has continuously increased its allocation to A-shares, with the market value share significantly rising [6] - The top 300 stocks held through the Shanghai and Shenzhen Stock Connect include 222 from the CSI 300 index, 62 from the CSI 500 index, and 10 from the CSI 1000 index, indicating a strong preference for liquid and fundamentally sound stocks [6] - The relationship between interest rates, exchange rates, and stock prices reflects the interaction between the money market and the capital market, showing a clear negative correlation overall [8] Group 3 - The current account surplus is the main source of the international balance of payments surplus, with merchandise trade being the primary driver, reflecting the relative changes in domestic and foreign demand [11] - When domestic interest rates rise relative to foreign rates, arbitrage capital flows into bonds and stocks, boosting the domestic currency and attracting more foreign capital into A-shares [13] - The dual-factor model effectively captures style-switching opportunities, with a strategy annualized return exceeding 10% [22]