市场情绪、机构投资者情绪和个人投资者情绪对交叉上市股票定价的影响

Effect of market sentiment,institution investor sentiment and individual investor sentiment on pricing of cross-listed shares

以中国AH股交叉上市公司为样本,分别构造了中国A股市场和H股市场的市场情绪和个股情绪,并进一步分解市场情绪为机构投资者情绪和个人投资者情绪两个部分,研究了这些情绪指标对AH股价差及其变化率的影响。研究表明,市场情绪对AH股价差的作用显著,其中机构投资者情绪的影响明显高于个人投资者情绪和个股情绪。个股情绪对AH股价差的作用主要体现在同期,而在跨期的影响较弱。

Wefirst decompose the market sentiment into institution investor sentiment and individual investor sentiment.Based on AH-share cross-listed companies of China,we then calculate the market sentiment and firm-level sentiment and analyze the impact of these sentiments on differences of price between A-and H-share.The results show that market sentiment has strong impact on the price differences.Specifically,institution investor sentiment exerts stronger impact than individual investor sentiment and firm-level sentiment;firm-level sentiment poses contemporaneous risk of price difference and cannot extend to be an intertemporal one.