投资者情绪、特质风险与A+H股票价格差异研究

Investor Sentiment, Idiosyncratic Risk and Price Disparity between A- and H- Shares

一直以来,投资者情绪与股票特质风险对资产定价的影响受到了广泛关注。本文在“沪港通”开通运行的背景下,将研究从单一市场扩展至跨境市场,以我国A股和H股市场为研究对象,使用主成分分析法(PCA)及偏最小二乘法(PLS)构造总投资者情绪指数、全球投资者情绪指数以及本地投资者情绪指数,然后结合股票特质风险,考察投资者情绪与股票特质风险对A+H交叉上市公司股票价格差异的解释能力。研究发现,投资者情绪与股票特质风险是影响交叉上市公司股票价格差异的重要因素,A股和H股投资者情绪差异越大,股票特质风险越大,交叉上市公司股票的价格差异就越大。“沪港通”的开通,并没有影响上述结论,投资者情绪与股票特质风险依然显著影响交叉上市公司的股票价格差异。

The roles of investor sentiment and idiosyncratic risk in asset pricing have attracted wide attention.This paper analyzes Chinese A-shares and Hong Kong H-shares stock markets under the Shanghai-Hong Kong Stock Connect.Applying the principal component approach(PCA)and partial least squares(PLS),we decompose sentiment into total,global and local indices.Combing with idiosyncratic risk,this paper tries to investigate the price premium of cross-listed companies at monthly frequency.We find that investor sentiment differential and idiosyncratic risk are positively related to the price premium of A-shares relative to H-shares.The launch of the Shanghai-Hong Kong Stock Connect doesn't change the above results.Investor sentiment differential and idiosyncratic risk are still important factors that are of great importance in the price disparity of cross-listed companies.