情绪差异能解释AH股溢价吗?  

Does the Difference in Sentiment Explain the Chinese AH Share Premium?

作　　者：刘澜飚 郭亮 LIU Lan-biao;GUO Liang(School of Finance,Nankai University,Tianjin 300350,China)

机构地区：[1]南开大学金融学院,天津300350

出　　处：《现代财经（天津财经大学学报）》2022年第1期66-80,共15页Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

基　　金：国家自然科学基金面上项目(72073076)。

摘　　要：本文构建了能够精准刻画大陆和中国香港两地投资者情绪区别的情绪差异综合指数,从投资者行为的市场间差异角度,解释A股相对H股长期保持高溢价的现象。研究结果表明,两地间的情绪差异越大,即A股市场的乐观程度相对H股的乐观程度越高,AH股溢价水平越高;在当前市场间联系加强的情况下,信息不对称不再是AH股溢价的解释原因。进一步的研究发现,市场低迷时期投资者更易受情绪因素影响,此时情绪差异对AH股溢价的解释作用更显著;机构投资者由于存在趋同投资行为,其对情绪差异的解释能力具有放大作用,机构占比越高的股票情绪差异对AH股溢价的解释力越强。This paper constructs a comprehensive sentiment difference index that can accurately describe the difference between investors’ sentiment in China's Mainland and Hong Kong, China. From the perspective of market differences in investor behavior, it explains the phenomenon that A shares maintain a high premium over H shares for a long time. The research results show that, the greater the difference in sentiment between the two places, that is, the higher the level of optimism in the A-share market than the H-share market, the higher the AH share premium level. Under the current strengthened linkages between markets, information Asymmetry is no longer the explanation for the AH share premium. Further research shows that, in the downturn of the market, factors of emotional difference are more likely to cause price deviation. Institutional investors have a magnifying effect on the interpretation of sentiment differences. The higher the institutional share of stock sentiment differences, the stronger the interpretation of the AH share premium.

关 键 词：情绪差异 AH股溢价 信息不对称 机构投资者 

分 类 号：F832.5[经济管理—金融学]