Study On Stock Price Disparity Of A-share And H-share Based Investor Sentiments

In the Chinese stock market, existing two kinds of dual-listed companies which are AB and AH dominates. However, the price of H-share is always lower than the price of A –share in China in AH dual-listed, namely "A-share premium", some scholars have called "the mystery of the Chinese stock market." Previous studies based on the information asymmetry, differences in liquidity, investor preferences, risk appetite to provide rationalized explanations for the AH share price difference, not noting the irrational elements. Based on behavioral finance study in perspective,this paper Introduced in the effects of investor sentiment to explain the price difference.In this paper,, integrated with the research results of foreign scholars and domestic scholars, adding explanatory variables mood, focusing on the impact of investor sentiment on the AH share price difference. First, select five original sentiment indicators :closed-end fund discount rate, the number of IPO, turnover and market volume, using the principal component analysis were constructed and integrated continent composite sentiment index sentiment indicators in Hong Kong SAR; then, collecting the monthly trade data of cross-listed public company from 2003 to 2014; A-share premium is dependent variable, the explanatory variables are the IF300 index, the Hang Seng index, market capitalization growth in turnover, the expected exchange rate, adding dummies to build panel data. Based on the panels with fixed effects regression model to regress, analysising regression resultsThe empirical results show that AH share price difference of the dual-listed company exist unreasonable composition, affected by investor sentiment significantly. Comprehensive mainland market sentiment was positively correlated with AH share price difference, i.e. the higher mainland market integrated investment sentiment, the higher the A-share premium rate, the higher the price of A shares, AH share price the greater the difference. Hong Kong SAR stock market and the overall investment sentiment is negative correlation, the higher Hong Kong SAR market integrated investment sentiment, the higher H-share prices, and AH share price difference is smaller.