Research On AH Share Discount-premium-Based On Investor Sentiment

The phenomenon of AH share discount premium is one of the price differences of dual listed companies.At present,most researches on this phenomenon focus on the analysis of rational factors,such as liquidity differences,demand elasticity theory,information asymmetry,etc.The important role of irrational factors.Since investors are important participants in the market,this paper studies the role of investor sentiment in asset pricing from the perspective of behavioral finance,and studies the phenomenon of AH share discount premium by constructing a comprehensive indicator of investor sentiment,which is used in investment practice.It has important practical significance.This article selects companies listed on both the A-share market and the Hong Kong market from 2010 to 2019,and screens for these AH stocks,excluding companies with shorter listing times and less data,and excluding those listed in the A-share market by ST.the company.This article first screens the proxy variables for investor sentiment,and selects some relatively reasonable variables among the subjective proxy variables and objective proxy variables.For example,in the A-share market,because there are many retail participants,it is more realistic to use the new number of account openings.Reflects investor sentiment;in the H-share market,because IPO and other information are more market-oriented,it is more appropriate to use the IPO first-day rate of return in the H-share market.More distorted).In the method of constructing the comprehensive index of investor sentiment,this paper uses the method of extended Kalman filtering to construct the comprehensive index of investor sentiment,which eliminates the influence of noise to a certain extent,leaving real unobservable data.Investor sentiment indicators can be used as explanatory variables.In addition,this article selects asymmetry of information,difference in liquidity and difference in demand elasticity as three control variables to control the influence of rational factors.Finally,this paper constructs a panel data model to conduct an empirical study on the phenomenon of AH share discount premium.In this study,the Hausman test was used to select a fixed-effect model.The research results show that,first,investor sentiment plays a significant role in the discount premium of AH stock,and the discount premium rate of AH stock will increase as the relative sentiment index of AH stock investors becomes larger;second,in traditional rationality In the analysis,the liquidity difference hypothesis and the demand elasticity hypothesis can better explain the discount and premium phenomenon of AH stocks,while the information asymmetry hypothesis has a weaker explanation for this phenomenon.This may be because the development of information technology has reduced this phenomenon.Information asymmetry.