The Influence Of Mainland Investors’ Emotions On The Price Differences Between A Shares And H Shares

With the increasing number of companies listed in both A-share and H-share markets,the issue of A-share premiums to H-shares has attracted more and more attention.Traditional financial theory believes that the spread is caused by market segmentation,and proposes many hypothesis based on market segmentation theories to explain the presence of the spread.However,compared with other developed countries’ stock markets,China’s domestic stock market is still a new market.Compared with the Hong Kong market,there are also many gaps.Affected by these comprehensive factors,Chinese stock market investors are irrational.Behavioral finance breaks the hypothesis of rational investors in traditional financial theory,which consider that irrational behaviors of human play an important role in the economic system.Prices of assets are not only determined by the intrinsic value of assets,but also by the influence of investor’s subjective behavior,some irrational factors including investors’ sentiment,has a significant impact on the price of assets.This paper investigates whether mainland investors’ sentiment have an impact on the difference of the stock price between A share market and H share market.Firstly,by reviewing and sorting out the literature related to investor sentiment,we summarize the influencing factors of A share and H stock price gap.Then we use principal component analysis to construct the measure index of investors’ sentiment.After that,we take the data of 48 dual-listed companies in the past ten years as the research object,from the perspective of A share and H stock price gap,and use descriptive statistics and multiple linear regression research methods to study whether the mainland investors’ sentiment would affect the A stock and H stock price gap.Through empirical research,it is found that mainland investor sentiment can significantly affect the A share and H share price gap,the higher the investors’ sentiment is in the mainland market,the higher the A-share premium rate and the greater the A share and H share price gap are.Through the study of investor sentiment,we can verify some theories of behavioral finance,and provide a new research direction for the premium phenomenon between different stock markets.In addition,we study the problem of A share and H share price gap and take some factors related behavioral finance into account,which can increase the understanding of the stock market and complete the pricing theory in the capital market.