Professor Donghui Shi’s Paper is Accepted and Published in International Level-A Journal, Focusing on the Return Predictability of Foreign Capital in the Chinese Stock Market | Academics

Release time：2025-06-12    

The paper entitled “Foreign Capital in the Chinese Stock Market: A Firm-Level Study” coauthored by Donghui Shi, Professor in Finance at FISF and Deputy Director of China Institute of Financial Rule of Law, Fudan University, and his partners Christian T. Lundblad, Xiaoyan Zhang and Zijian Zhang, was accepted and published on International Level-A Journal, Journal of Financial and Quantitative Analysis, and would soon be printed out.

Professor Introduction

Donghui Shi

Professor in Finance at FISF

Deputy Director of China Institute of Financial Rule of Law, Fudan University

Main contents of the paper:

Using a proprietary dataset covering all foreign investors’ 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, which suggests that foreign investors can process local firm information. Finally, regulatory reforms that generally relax investment access requirements further improve foreign investors’ predictive power.

Ever since establishment, FISF has witnessed 39 professors publishing a total of 176 papers on world-famous academic journals, among which 124 academic papers were published on international level-A journals (including A+, A and A-). The teaching team of the school has always upheld the school motto of “Unified FISF, Excellence, Responsibility, Innovation.” devoting themselves wholeheartedly to the academic research work. They manage to maintain a high level of academic achievements in both quantity and quality, which fully reflects the excellent strength of the teaching team of FISF in the field of academic research. In the future, FISF will keep on pursuing international cutting-edge scientific research achievements and continue to make greater contributions to the promotion of first-class financial and economic disciplines.