This study examines 66 Chinese companies that issue both A-shares in China and H-shares in Hong Kong from 1999 to 2010. Two tests are performed to test the efficiency of the constructed sentiment indexes. It is found that two market-specific sentiments have different effects on A-shares in mainland China and H-shares in Hong Kong. Hong Kong market sentiment has larger effect in explaining H-shares returns and A/H-shares price disparity movement. When Hong Kong market sentiment is high, H-shares tend to earn relatively low subsequent returns. On the contrary, A-shares demonstrate reverse effect. Such findings can contribute to the existing behavioral finance literature by using investors’ sentiment index in cross-listing pricing.