Investor Sentiment and Stock Price Premium Validation with Siamese Twins from China

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE Journal of Multinational Financial Management Pub Date : 2020-12-01 DOI:10.1016/j.mulfin.2020.100655

Yuan Li , Jimmy Ran

引用次数: 6

Abstract

We apply the principal component analysis (PCA) and the partial least squares (PLS) methods to construct investor sentiment measurements and decompose them into total, local and global indices for the Mainland China (A-shares) and Hong Kong (H-shares) stock markets. Our results show that total investor sentiment is a strong predictor for the A-shares market, but it has hardly any effect in the H-shares market. We find that the sentiment differential, either total or local, has a positive relationship with the aggregate excess returns differential between the two markets, but the Hong Kong sentiment alone, either total or local, does not play much role. We further find that the sentiment differential is positively associated with the price premium of A-shares over H-shares. Our results are robust even after we add traditional factors.

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中国连体双胞胎的投资者情绪与股价溢价验证

我们运用主成分分析(PCA)和偏最小二乘(PLS)方法构建投资者情绪测度，并将其分解为中国内地(a股)和香港(h股)股市的总指数、本地指数和全球指数。我们的研究结果表明，总投资者情绪对a股市场有很强的预测作用，但对h股市场几乎没有任何影响。我们发现，无论是整体还是局部的情绪差异，都与两个市场的总超额收益差异呈正相关，但单独的香港情绪差异，无论是整体还是局部，都没有多大作用。我们进一步发现，情绪差异与a股相对于h股的价格溢价呈正相关。即使在加入传统因素后，我们的结果也是稳健的。

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

Journal of Multinational Financial Management BUSINESS, FINANCE-

CiteScore

7.30

自引率

4.80%

发文量

审稿时长

30 days

期刊介绍： International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.

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