The Influence Of Investor Sentiment Difference On Premium Of A+H Shares

For a long time,A+H shares have not complied with the common sense of "the same share,the same rights,the same price",there has been a fairly high level of premium: A shares is much higher than H shares.This kind of price difference in cross-listed enterprises in China has aroused wide discussion among scholars.Earlier,scholars mostly studied the influence of rational factors.The classical market segmentation theory,for instance,consists of the asymmetric information,the difference of liquidity,demand and risk preference.Other scholars have focused on macro and market variables such as exchange rates,systemic risks,and the PE ratio of companies.The opening of the Shanghai-Hong Kong Stock Connect is an important link.Because the above rational factors will be reduced,theoretically the premium should be significantly reduced.However,the fact is that the premium of A+H shares has not been improved.Behavioral finance economist propose that investors are the most important subjects involved in market transactions,they are closely related to security prices.This paper analyzes the problem of price difference from the irrational factor of investor sentiment,which is also a meaningful practical topic in our capital market.In this paper,companies listed in the mainland stock markets and Hong Kong stock markets from January 2017 to November 2022 are selected as research objects,totally we collected 86 sample enterprises.The statistical frequency is monthly.In the paper: First,we established the investor sentiment variables of the two markets through PCA method.And then we constructed the SENT index as the explanatory variable by subtracting.In the selection of investor sentiment proxy variables and control variables,we consider the market differences.We select DCEF,IPON and IPOR,TURN,ICI,NIA.Then we added IAV,CPI,PPI,MBCI,M3 and RET as the control variables;We correspond them with the market according to the market characteristics and data availability.After that,we selected PREM as the explained variable,sorted out the rational factors with the highest rationality in the previous literature as the control variables,carried out an empirical study by using Stata through panel data model,and adopted Hausman test to select the fixed-effect model.After that,two robust tests and three endogeneity tests respectively proved the existence of the main conclusions.Finally,we further analyze the influence mechanism and the influence of institutional shareholding on this conclusion.What is different from the past is that,on the basis of the studies to measure investor sentiment in a single market,we hope to use the principal component analysis method to complete the establishment of sentiment indicators by differentiating variables in the mainland market and Hong Kong market,and then construct sentiment difference indicators.From the perspective of combining the two markets,we can update the realistic data under the Land-Port Connect,and try to prove that the difference of investor sentiment in A+H premium is an important influencing factor.We also add the verification of the channel of attention in its influence,hoping to explain the occurrence logic of such influence.And further explore the role of institutional investors,which is also a more obvious source of differences between the investors in the two cities.According to the test results:(1)Our main conclusion is that investor sentiment difference has a significant positive effect on the explanation of A+H share premium,while risk preference difference and exchange rate in the control variables have good explanations.(2)And find that attention may be an important channel of influence.Then,the increase of institutional ownership can reduce the impact of investor sentiment in A+H share premium.