Can textual sentiment partially explain differences in the prices of dual-listed stocks?

Kingstone Nyakurukwa and Yudhvir Seetharam

Finance Research Letters, 2023, vol. 58, issue PC

Abstract: This study offers a robust examination of the impact of textual sentiment on price deviations for dual-listed stocks. We analysed four (three) pairs of twin stocks to establish the association between news (Twitter) sentiment differentials and theoretical price ratios. The results reveal that: Anglo-American and Anglo-Australian twin stocks exhibit a negative relationship between news (Twitter) sentiment and deviations from theoretical price parity, while the Anglo-South African twin stocks display a positive relationship using news sentiment differentials. We shed light on the role of online sentiment in understanding price deviations and offer valuable insights for investors and analysts.

Keywords: Behavioural finance; Dual-listed stocks; Investor sentiment; Law of one price (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323009017

DOI: 10.1016/j.frl.2023.104529

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