Individual investors' propensity to speculate and A-share premiums in China's A-shares and H-shares

Jun Chen, Gaoliang Tian and Fan Yang

Emerging Markets Review, 2020, vol. 43, issue C

Abstract: We explore factors that contribute to A-share premiums (ASPs) using a sample of 94 cross-listed Chinese firms. We construct proxies of individual investors' propensity to speculate to investigate the association between the speculative motivation and the ASP. This study finds results that are consistent with predictions of behavioral finance theory: When individual investors speculate on a clientele of A-shares, which are characterized by costly to arbitrage or whose issuing firms are attractive to speculative picks, this clientele of A-shares enjoys persistent higher ASPs than other cross-listed A-shares. This finding is robust after controlling for relevant factors reported by previous studies.

Keywords: A-share; H-share; Equity price premium; Equity market in China; Behavioral finance; Speculation hypothesis (search for similar items in EconPapers)
JEL-codes: G10 G12 G15 G40 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:43:y:2020:i:c:s1566014119305229

DOI: 10.1016/j.ememar.2020.100689

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