The Cross-Correlations between Foreign Flows in Chinese A-Share Markets and Uncertainties in Home Markets

Table 1

Descriptive statistics of net foreign flows in A-share market, the change of VIX index, and US EPU index.

	VIX change	Net foreign flows	US EPU change
N	1511	1511	1511
Mean	0.002	9.208	0.076
Median	−0.080	6.284	0.140
Std. dev.	2.119	34.486	57.822
Maximum	24.860	217.233	267.360
Minimum	−17.640	−173.842	−282.840
Skewness	2.761	0.717	0.046
Kurtosis	35.903	10.308	6.610
Jarque–Bera	70079.860	3491.684	820.817

Statistical significance at the 0.001.