school

UM E-Theses Collection (澳門大學電子學位論文庫)

check Full Text
Title

Investor sentiment and pricing of cross-listed stocks : evidence from Chinese A- and H-shares

English Abstract

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.

Issue date

2011.

Author

Liao, Yun

Faculty

Faculty of Business Administration

Department

Department of Finance and Business Economics

Degree

M. Sc.

Subject

Investments -- Psychological aspects

Stocks -- Prices -- China

Stock exchanges -- Psychological aspects

Supervisor

So, Man Shing

Files In This Item

TOC & Abstract

Full-text (Intranet only)

Location
1/F Zone C
Library URL
991001820099706306