AH Share Price Spread: Investors Sentiment Study

Abstract

This paper develops a comprehensive index of sentiment differences that can accurately describe the differences in investor sentiment between mainland China and Hong Kong to explain the higher premium of A-shares more than H-shares in the long run from the perspective of market differences in individual investor behavior. The results show that the higher the level of optimism of the A-share market relative to the H-share market, the higher the level of A-H share premium; Research shows that investors are more susceptible to the hazards of emotional elements during the market downturn phase, that emotional differences have an amplifying effect on the explanatory power of AH share premiums, and the higher the institutional share of stocks differences emotional, the more substantial explanatory power on AH share premiums. We should take notice of the critical role of irrational factors in price fluctuations and have certain psychological expectations about the fluctuations of stock prices caused by irrational factors.