Abstract
AbstractIn this paper, we investigate whether investors respond differently to news coverage from local media and overseas media relying on the special setting of A‐ and H‐cross‐listing in China. By employing the abnormal stock return variance and the abnormal trading volume as investor reaction proxies, we document that both A‐share and H‐share investors tend to have stronger reactions to their own local media than to overseas media (referred to as local media preference). To provide further support, we utilize three natural experiments, that is, the introduction of colocation by the Stock Exchange of Hong Kong, the launch of Shanghai‐Hong Kong Stock Connect, and the inclusion of A‐shares in MSCI indices as well as alternative ways to construct our main variables. In addition, we also confirm that this local media preference strengthens the market segmentation between these two share classes.
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