Abstract: With the continuous promotion of the internationalization of China’s financial market, the tendency of northward capital volume published every day is closely watched by more and more investors. Is it the trend of northward capital or the change of investors' attention that plays a greater role in affecting the mainland stock market? And what is the relationship between the above two and the stock market? This paper takes the northward capital, Baidu index and the CSI 300 index as the research object, which data is selected from 2016-12-5 to 2019-7-5. In order to examine the impact of northward capital volume and investors’ attention on the stock market accurately and consider the time-frequency characteristics of stock market, The EEMD method is used to decompose and integrate the above three variables, and then the multivariate GARCHSK model is used to model the high frequency, medium frequency and low frequency sequences respectively. Finally, the time-varying higher order co-moments obtained from the model are analyzed, so that the dynamic relationship between the northward capital volume, investors’ attention and the stock market can be discussed respectively. The empirical results show that there is a time-varying relationship between Northward capital, investors’ attention and the mainland stock market. The higher order co-moments has gradually become an important way to link the risk contagion and volatility between the mainland stock market and the northward capital, and the correlation has gradually increased. While the correlation approach between investors' attention and mainland stock market is less, and their relationship is uncertain. The changes of short-term mean and variance of the mainland stock market are more dependent on northward capital, while the changes of long-term asymmetry and extreme risk probability are more significantly related to investors’ attention to relevant information. The correlation approach and time-varying impact of northward capital and investors’ attention on the mainland stock market from different frequencies are discussed, which provide references for the design and research of future interconnection policies.

Key words: northward capital；price-volume relationship；investors’ attention；higher order co-moments；time and frequency domain