投资者情绪对股价的影响——基于AH股交叉上市股票的实证分析

doi:10.16381/j.cnki.issn1003-207x.2015.11.003

Abstract

Abstract: The impact of investor sentiment on the stock price reflects irrational factors effect on the capital markets to the extent of asset pricing. Security investment fund's loss ratio in capital market is used to construct investor sentiment index and its effect on stock pricing of A-H shares of cross-listing companies in China is studied. The study shows that after controlling Fama-French three factors and other macro-economic variables, the investor sentiment has a significant impact on A-share market and H-share market, which means that the stock prices will rise as soon as investor sentiment is high and vice versa. Besides, investor sentiment on the A-share market can significantly forecast the price reversion in the next 12 months while investor sentiment on the H-share market can significantly forecast the price reversion in the next 6 months, which indicates that the impact of investor sentiment on Chinese mainland stock market has a longer persistence than that of Hong Kong stock market and that there are significant irrational differences and efficiency differences between the two markets. This study contributes to the literature and provides theoretical and empirical evidences to trading and regulatory systems of A-share market.

Key words: investor sentiment, cross-listing, stock pricing, security investment fund

CLC Number:

F832.48

LU Jing, ZHOU Yuan. The Effect of Investor Sentiment on Stock Pricing-An Empirical Study Based on A-H Shares of Cross-listing Companies[J]. Chinese Journal of Management Science, 2015, 23(11): 21-28.

References

[1] Baker M, Wurgler J. Investor Sentiment and the Cross-Section of Stock Returns[J]. The Journal of Finance, 2006, 61(4):1645-1680.

[2] Corredor P, Ferrer E, Santamaris R. Investor sentiment effect in stock markets:Stock characteristics or country-specific factors[J]. International Review of Economics and Finance, 2013, 27:572-591.

[3] Stambaugh R F, Yu Jianfeng, Yuan Yu. The short of it:Investor sentiment and anomalies[J]. Journal of Financial Economics, 2012, 104(2):288-302.

[4] Xu Yihan, Green C J. Asset pricing with investor sentiment:Evidence from Chinese stock markets[J]. The Manchester School, 2013, 81(1):1-32.

[5] 李心丹,王冀宁,傅浩.中国个体证券投资者交易行为的实证研究[J].经济研究, 2002, (11):54-63.

[6] 高大良,刘志峰,杨晓光.投资者情绪、平均相关性与股市收益[J].中国管理科学, 2015, 23(2):10-20.

[7] 吴卫星,汪勇祥,梁衡义.过度自信,有限参与和资产价格泡沫[J].经济研究, 2006, (4):115-127.

[8] 伍燕然,韩立岩.不完全理性:情绪与封闭式基金之迷[J].经济研究, 2007, (3):117-129.

[9] 姚德权,黄学军,杨光.中国机构投资者情绪与股票收益关系研究[J].湖南大学学报:社会科学版, 2010, 24(6):46-50.

[10] Chung S L, Hung C H, Yeh C Y. When does investor sentiment predict stock returns[J]. Journal of Empirical Finance, 2012, 19(2):217-240.

[11] Feldman T. A more predictive index of market sentiment[J]. Journal of Behavioral Finance, 2010,11(4):211-223.

[12] Kahneman D, Tversky A. Prospect theory:An analysis of decisions under risk[J].Econometrica,1979, 47(2):313-327.

[13] Brown S J, Goetzmann W N, Hiraki Y, et al. Investor sentiment in Japanese and U.S. dailiy mutual fund flows[R]. Working Paper, National Bureau of Economic Recearch, 2003.

[14] Frazzini A, Lamont O A. Dumb money:Mutual fund flows and the cross-section of stock returns[J]. Journal of Financial Economics, 2008, 88(2):299-322.

[15] 王春.投资者情绪对股票市场收益和波动的影响——基于开放式股票型基金资金净流入的实证研究[J].中国管理科学, 2014, 22(9):49-56.

[16] Friedman D, Abraham R. Bubbles and crashes:Gradient dynamics in financial markets[J]. Journal of Economic Dynamics and Control, 2009, 33(4):922-937.

[17] Baker M, Wurgler J, Yuan Yu. Global, local, and contagious investor sentiment[J]. Journal of Financial Economics, 2012, 104(2):272-287.

[18] Schmeling M. Investor sentiment and stock returns:Some international evidence[J]. Journal of Empirical Finance, 2009, 16(3):394-408.

[19] Yu Jianfeng, Yuan Yu. Investor sentiment and the mean variance relation[J]. Journal of Financial Economics, 2011, 100(2):367-381.

[20] 谢太峰,王子博.中国经济周期拐点预测——基于潜在经济增长率与经验判断[J].国际金融研究, 2013(1):77-86.

[21] Funke M, Paetz M. Housing prices and the business cycle:An empirical application to Hong Kong[J]. Journal of Housing Economics, 2013, 22(1):62-76.

[22] Zou Qi. Can China be the engine of the world economy? China business cycle analysis[R]. Working Paper,Wichita State University, 2012.

The Effect of Investor Sentiment on Stock Pricing-An Empirical Study Based on A-H Shares of Cross-listing Companies

PDF (PC)

Knowledge

Abstract

Cite this article

share this article

References

Related Articles 12

Metrics

Comments

Recommended 10

[1]	ZHANG Bo, HU Wen-xiu, YANG Xi-an. Research on the Formatting Mechanism of Investor Sentiment [J]. Chinese Journal of Management Science, 2021, 29(1): 185-195.
[2]	HUANG Chuang-xia, WEN Shi-gang, YANG Xin, WEN Feng-hua, YANG Xiao-guang. The Interactive Relationship between Individual Investor Sentiment and Stock Price Behaviors [J]. Chinese Journal of Management Science, 2020, 28(3): 191-200.
[3]	CHEN Wen-bo, CHEN Lang-nan, WANG Shen-quan. Investors' Gambling Behavior——A Perspective from Profit/Loss Condition and Investor Sentiment [J]. Chinese Journal of Management Science, 2019, 27(2): 19-30.
[4]	LIU Xue-wen. Study on the Optimization of Investor Sentiment Measure Indicators in Chinese Stock Market [J]. Chinese Journal of Management Science, 2019, 27(1): 22-33.
[5]	CHEN Qi-an, LEI Xiao-yan. Monetary Policy, Investor Sentiment and Volatility of Chinese Stock Market:Theory and Evidence [J]. Chinese Journal of Management Science, 2017, 25(11): 1-11.
[6]	CHEN Peng-cheng, ZHOU Xiao-hua. Institutional Investor Private Information, Retail Investor Sentiment and IPO First-day Return [J]. Chinese Journal of Management Science, 2016, 24(4): 37-44.
[7]	YI Rong-hua, JU Jin, LIU Jia-peng. Market Valuation Efficiency Measurementand Valuation Model Analysis-Based on Cross-listing Stocks [J]. Chinese Journal of Management Science, 2016, 24(1): 30-37.
[8]	GAO Da-liang, LIU Zhi-feng, YANG Xiao-guang. Investor Sentiment,Average Correlation and Stock Market Returns [J]. Chinese Journal of Management Science, 2015, 23(2): 10-20.
[9]	WANG Chun. The Effect of Investor Sentiment on Return and Volatility of Stock Market—Based on Empirical Study of Net Flow of Open-end Equity Funds [J]. Chinese Journal of Management Science, 2014, 22(9): 49-56.
[10]	Chen Xue-Sheng, Qin Jia-Qi. Difference of Price Discovery Abilities among Cross-Lings and the Measurement of the Trade-Related Information [J]. Chinese Journal of Management Science, 2013, (2): 9-16.
[11]	CHEN Qi-an, ZHU Min, LAI Qin-yun. Study on Portfolio Model Based on Investor Sentiment [J]. Chinese Journal of Management Science, 2012, (3): 47-56.
[12]	CHEN Xue-sheng, ZHOU Ai-min. Cross-sectional Research on the Contributions to the Price Discovery Process of the Cross-listings [J]. Chinese Journal of Management Science, 2009, 17(2): 21-28.