 Investor Sentiment and Stock Price Premium Validation with Siamese Twins from ChinaYuan Li and Jimmy Ran Journal of Multinational Financial Management, 2020, vol. 57-58 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. Keywords: Investor sentiment; Return predictability; Cross-listed; Price premium (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:57-58:y:2020:i::s1042444x2030044x DOI: 10.1016/j.mulfin.2020.100655 Access Statistics for this article Journal of Multinational Financial Management is currently edited by I. Mathur and G. G. Booth More articles in Journal of Multinational Financial Management from Elsevier |
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