The impact of investor attention on mispricing of dual-listed shares: Evidence from Chinese A-share and H-share markets

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal Pub Date : 2025-04-17 DOI:10.1016/j.pacfin.2025.102784

Wei-Ling Huang , I-Hsuan Ethan Chiang , Ming-Hung Wu

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Abstract

This study examines the relation between investor attention and the A-H share price premium in Mainland China stock markets (which list A shares) and Hong Kong stock markets (which list H shares of the same company) using the Baidu search index (BSI) as a proxy for retail investor attention. Our findings indicate that a one-standard-deviation increase in the abnormal BSI (ABSI) corresponds to a significant increase of 1.90 % in the next-day premium between A-H share prices. This finding suggests that increased attention from retail investors causes overpricing, resulting in higher A-H share price premiums. Notably, we observe that mobile searches have a stronger effect on price premiums than do personal computer (PC) searches. A one-standard-deviation increase in the PC-based ABSI leads to a 1.30 % increase, whereas the mobile-based ABSI results in a 1.86 % increase in the A-H share price premium. Additionally, ABSI-driven mispricing lasts 60 trading days until prices converge. Moreover, we find that greater institutional investor ownership reduces ABSI-driven mispricing. Finally, the influence of investor attention on the A-H share price premium diminishes following the implementation of the 2014 Shanghai/Hong Kong Stock Connect Policy, which allows global investors to invest in both the Shanghai and Hong Kong markets. We contribute to the literature by highlighting novel factors affecting the A-H share price premium, including the influence of investor attention, device use, and institutional investor activity.

查看原文本刊更多论文

投资者关注对两地上市股票错误定价的影响：来自中国a股和h股市场的证据

本研究使用百度搜索指数（BSI）作为散户投资者关注的代理，考察了中国内地股票市场（上市A股）和香港股票市场（上市同一公司的H股）投资者关注与A-H股价溢价之间的关系。我们的研究结果表明，异常BSI （ABSI）每增加一个标准差，对应于a - h股价次日溢价显著增加1.90%。这一发现表明，散户关注的增加导致定价过高，从而导致A-H股溢价较高。值得注意的是，我们观察到移动搜索对价格溢价的影响强于个人电脑（PC）搜索。基于个人电脑的ABSI增加一个标准差导致1.30%的增长，而基于手机的ABSI导致A- h股价溢价增加1.86%。此外，absi驱动的错误定价持续60个交易日，直到价格趋同。此外，我们发现更大的机构投资者所有权减少了absi驱动的错误定价。最后，随着2014年沪港通政策的实施，投资者关注对A-H股价溢价的影响减弱，该政策允许全球投资者同时投资上海和香港市场。我们通过强调影响A-H股价格溢价的新因素，包括投资者注意力、设备使用和机构投资者活动的影响，为文献做出贡献。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.