This paper explores the predictive power of northbound capital flows on future market return. Investors from Hongkong market may have more information, and their trading behavior through Shanghai/Shenzhen-Hongkong connection may signal future market return. We find that larger northbound capital flows predict higher future market return. The predictive power is stronger in energy enterprises, but it nearly has no predictive power for telecom enterprises. Besides, predictivity of northbound capital flows works differently under different market conditions, where the predictive power is stronger in up and fluctuation period. Furthermore, southbound capital flows also predict future market return in Hongkong stock market, and the predictivity is much stronger in down and fluctuation period, which is different with northbound capital flows.