hk-connect-flow

Stock Connect (Shanghai/Shenzhen-Hong Kong) fund flow analysis — Northbound (foreign into A-shares), Southbound (mainland into HK), sector allocation tracking, and cross-border arbitrage signals.

Quality

73%

Does it follow best practices?

Run evals on this skill

Adds up to 20 points to the overall score

View guide

Securityby

Passed

No findings from the security scan

Fix and improve this skill with Tessl

tessl review fix ./agent/src/skills/hk-connect-flow/SKILL.md

Stock Connect Fund Flow Analysis

Overview

Analyze capital flows through the Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connect programs. Northbound flows (foreign capital into A-shares) are a key institutional sentiment indicator for the China market; Southbound flows (mainland capital into Hong Kong) reveal mainland investor preference for HK-listed assets. Together they provide a real-time cross-border capital positioning signal.

Core Concepts

1. Stock Connect Architecture

Channel	Direction	What It Measures
Shanghai Connect Northbound	Foreign → A-shares (SSE)	Foreign institutional A-share appetite
Shenzhen Connect Northbound	Foreign → A-shares (SZSE)	Foreign institutional A-share appetite (growth bias)
Shanghai Connect Southbound	Mainland → HK (HKEX)	Mainland capital HK allocation
Shenzhen Connect Southbound	Mainland → HK (HKEX)	Mainland capital HK allocation

Daily quota: Each channel has a daily net buy quota (~RMB 52B / HKD 42B). Quota utilization >50% = strong directional signal.

2. Northbound Flow Analysis (Foreign into A-shares)

Why Northbound matters:

Foreign institutions (global funds, sovereign wealth funds, hedge funds) are considered "smart money" in A-shares
Northbound holdings represent ~4-5% of A-share free-float market cap — small but marginal price-setters
Northbound flow correlates with MSCI China index rebalancing and global EM allocation decisions

Northbound signal framework:

# Daily Northbound net buy signals
def northbound_signal(daily_net_buy_rmb_billion):
    if daily_net_buy_rmb_billion > 10:
        return "strong_foreign_buying"    # Very large single-day inflow
    elif daily_net_buy_rmb_billion > 5:
        return "moderate_foreign_buying"
    elif daily_net_buy_rmb_billion > 0:
        return "mild_foreign_buying"
    elif daily_net_buy_rmb_billion > -5:
        return "mild_foreign_selling"
    elif daily_net_buy_rmb_billion > -10:
        return "moderate_foreign_selling"
    else:
        return "strong_foreign_selling"   # Panic outflow

# Cumulative flow trend (more important than single-day)
def northbound_trend(flows_20d, flows_5d):
    cum_20d = sum(flows_20d)
    cum_5d = sum(flows_5d)

    if cum_20d > 30 and cum_5d > 10:
        return "sustained_accumulation"   # Strong bullish for A-shares
    elif cum_20d < -30 and cum_5d < -10:
        return "sustained_distribution"   # Bearish for A-shares
    elif cum_20d > 0 and cum_5d < 0:
        return "accumulation_pausing"     # Watch for reversal
    elif cum_20d < 0 and cum_5d > 0:
        return "distribution_pausing"     # Possible bottom formation

Northbound sector allocation patterns:

Sector Preference	Typical Holdings	Signal
Consumer staples (Moutai, dairy)	30-35% of holdings	Core allocation, low turnover
Financials (banks, insurance)	15-20%	Cyclical allocation, rate-sensitive
Technology (semiconductors, software)	10-15%	Growth allocation, high turnover
Healthcare (CXO, innovative pharma)	8-12%	Structural growth bet
New energy (EV, solar)	5-10%	Thematic, high volatility

Sector rotation signal:

When Northbound increases consumer staples weight → defensive positioning
When Northbound increases tech/new energy weight → risk-on, growth chasing
When Northbound reduces across all sectors → broad risk-off, usually FX-driven (CNY weakening)

3. Southbound Flow Analysis (Mainland into HK)

Why Southbound matters:

Mainland investors are the marginal buyer for many HK mid/small caps
Southbound flows are driven by: AH premium (A vs H discount arbitrage), dividend yield hunting, and tech platform allocation (Tencent, Alibaba, Meituan)
Insurance and pension funds increasingly use Southbound for international diversification

Southbound signal framework:

# Southbound focus areas
southbound_targets = {
    "tech_platforms": ["0700.HK", "9988.HK", "3690.HK", "9618.HK"],
    "high_dividend": ["0939.HK", "1398.HK", "0883.HK", "2628.HK"],
    "ah_discount": [],  # Dynamically calculated based on AH premium index
}

def southbound_signal(daily_net_buy_hkd_billion):
    if daily_net_buy_hkd_billion > 5:
        return "strong_mainland_buying"
    elif daily_net_buy_hkd_billion > 2:
        return "moderate_mainland_buying"
    elif daily_net_buy_hkd_billion < -2:
        return "mainland_selling"
    else:
        return "neutral"

Southbound investment patterns:

Dividend yield arbitrage: mainland funds buy HK-listed banks/telecoms for higher dividend yield (H-share dividends are often 2-3% higher than A-share equivalents due to lower prices)
Tech platform allocation: Tencent, Alibaba, Meituan are HK-only or HK-primary listings; mainland tech allocation must go Southbound
AH premium arbitrage: when AH premium index >130, arbitrage capital flows Southbound to buy cheaper H-shares

4. AH Premium Index

The Hang Seng AH Premium Index (HSAHP) tracks the average premium of A-shares over their H-share counterparts for dual-listed companies.

# AH Premium interpretation
ah_premium_index = 130  # A-shares trade 30% above H-shares on average

if ah_premium_index > 140:
    signal = "extreme_ah_premium"
    action = "favor H-shares over A-shares for dual-listed names"
elif ah_premium_index > 125:
    signal = "elevated_ah_premium"
    action = "mild H-share preference"
elif ah_premium_index < 110:
    signal = "compressed_ah_premium"
    action = "A-shares relatively cheap vs H; unusual, investigate"
else:
    signal = "normal_range"

5. Cross-Border Flow Composite Signal

Multi-dimensional scoring:

connect_score = {
    "northbound_flow": 0,       # -2 to +2: 20-day cumulative NB flow direction
    "northbound_breadth": 0,    # -2 to +2: number of NB top-10 holdings being added to
    "southbound_flow": 0,       # -2 to +2: 20-day cumulative SB flow direction
    "ah_premium": 0,            # -2 to +2: AH premium level (high = favor HK)
    "fx_direction": 0,          # -2 to +2: CNY strength (strong CNY = NB inflow support)
}

# Total range: -10 to +10
# > +5: strong cross-border risk-on, favor A-shares
# +2 to +5: mild bullish
# -2 to +2: neutral / mixed
# < -2: cross-border risk-off, foreign selling A-shares
# < -5: strong risk-off, likely FX-driven

Data Access

Via Tushare (A-share perspective)

import tushare as ts
pro = ts.pro_api()

# Daily Northbound/Southbound aggregate flows
df = pro.moneyflow_hsgt(start_date="20260101", end_date="20260330")
# Columns: trade_date, ggt_ss (Shanghai SB), ggt_sz (Shenzhen SB),
#           hgt (Shanghai NB), sgt (Shenzhen NB), north_money, south_money

# Top 10 Northbound active stocks
df = pro.hsgt_top10(trade_date="20260328", market_type="1")  # 1=Shanghai, 3=Shenzhen
# Columns: trade_date, ts_code, name, close, change, rank, market_type,
#           amount (trade amount), net_amount (net buy), buy, sell

Via yfinance (HK perspective)

import yfinance as yf

# HK-listed stocks price data
tencent = yf.download("0700.HK", start="2025-01-01", end="2026-03-30", progress=False)
alibaba = yf.download("9988.HK", start="2025-01-01", end="2026-03-30", progress=False)

# AH Premium Index (proxy via Hang Seng indices)
hsi = yf.download("^HSI", start="2025-01-01", end="2026-03-30", progress=False)

Key Data Points to Track

Metric	Source	Frequency	Threshold
Northbound daily net buy	Tushare / HKEX	Daily	>RMB 5B = significant
Northbound 20-day cumulative	Calculated	Daily	>RMB 30B = trend
Southbound daily net buy	Tushare / HKEX	Daily	>HKD 3B = significant
AH Premium Index	Hang Seng	Daily	>130 = H-share value
Quota utilization	HKEX	Intraday	>50% = strong conviction
NB Top 10 concentration	Tushare	Daily	Top 3 names >50% = concentrated bet

Output Format

## Stock Connect Flow Analysis — [Date Range]

### Northbound (Foreign → A-shares)
- **20-day cumulative**: [+/- RMB X.XB]
- **5-day trend**: [accelerating / decelerating / reversing]
- **Daily average**: [RMB X.XB]
- **Quota utilization**: [X%]
- **Signal**: [sustained accumulation / distribution / neutral]

### Northbound Sector Allocation
- **Adding to**: [sector1 (top names), sector2]
- **Reducing**: [sector1, sector2]
- **Rotation direction**: [defensive / cyclical / growth]

### Southbound (Mainland → HK)
- **20-day cumulative**: [+/- HKD X.XB]
- **Focus names**: [Tencent, Alibaba, bank names]
- **Driver**: [dividend yield / tech allocation / AH arbitrage]

### AH Premium
- **Current index**: [XXX]
- **Historical percentile**: [X%]
- **Implication**: [favor H-shares / neutral / favor A-shares]

### Composite Signal
| Dimension | Score (-2~+2) | Basis |
|-----------|---------------|-------|
| NB flow | +1 | Cumulative +RMB 15B over 20 days |
| NB breadth | +2 | Adding across 8 of top 10 |
| SB flow | 0 | Flat |
| AH premium | -1 | AH premium at 135 (H relatively cheap) |
| FX | +1 | CNY stable/strengthening |

### Cross-Market Implication
- **A-share outlook**: [bullish / neutral / bearish] (NB perspective)
- **HK outlook**: [bullish / neutral / bearish] (SB + AH perspective)
- **Arbitrage**: [AH premium trade: buy H / sell A for dual-listed names]

Notes

Northbound flow is the single most-watched institutional indicator for A-shares; it often leads index turns by 1-3 days
Quarter-end and MSCI rebalancing dates (Feb/May/Aug/Nov) cause mechanical flow distortions — filter these out for signal purity
CNY/USD exchange rate is a key driver of Northbound flow; USD strength typically triggers NB outflows regardless of A-share fundamentals
Southbound flow can be distorted by dividend arbitrage (mainland funds buy before ex-div, creating artificial inflow spikes)
Stock Connect data is freely available from HKEX website and Tushare API
This framework is for research purposes only and does not constitute investment advice

Repository: HKUDS/Vibe-Trading
Path: agent/src/skills/hk-connect-flow/SKILL.md
Commit: 8643fcd

Last updated: 2 days ago
First committed: 4 months ago

Is this your skill?

If you maintain this skill, you can claim it as your own. Once claimed, you can manage eval scenarios, bundle related skills, attach documentation or rules, and ensure cross-agent compatibility.