The impact of investor attention on mispricing of dual-listed shares: Evidence from Chinese A-share and H-share markets

Wei-Ling Huang, I-Hsuan Ethan Chiang and Ming-Hung Wu

Pacific-Basin Finance Journal, 2025, vol. 92, issue C

Abstract: This study examines the relation between investor attention and the A-H share price premium in Mainland China stock markets (which list A shares) and Hong Kong stock markets (which list H shares of the same company) using the Baidu search index (BSI) as a proxy for retail investor attention. Our findings indicate that a one-standard-deviation increase in the abnormal BSI (ABSI) corresponds to a significant increase of 1.90 % in the next-day premium between A-H share prices. This finding suggests that increased attention from retail investors causes overpricing, resulting in higher A-H share price premiums. Notably, we observe that mobile searches have a stronger effect on price premiums than do personal computer (PC) searches. A one-standard-deviation increase in the PC-based ABSI leads to a 1.30 % increase, whereas the mobile-based ABSI results in a 1.86 % increase in the A-H share price premium. Additionally, ABSI-driven mispricing lasts 60 trading days until prices converge. Moreover, we find that greater institutional investor ownership reduces ABSI-driven mispricing. Finally, the influence of investor attention on the A-H share price premium diminishes following the implementation of the 2014 Shanghai/Hong Kong Stock Connect Policy, which allows global investors to invest in both the Shanghai and Hong Kong markets. We contribute to the literature by highlighting novel factors affecting the A-H share price premium, including the influence of investor attention, device use, and institutional investor activity.

Keywords: A-H share price premium; Investor attention; Baidu search index; Mobile computing; Institutional investors (search for similar items in EconPapers)
JEL-codes: G0 G1 G4 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:92:y:2025:i:c:s0927538x25001210

DOI: 10.1016/j.pacfin.2025.102784

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