Investor reactions to local and overseas news: Evidence from A‐ and H‐shares in China

Yi Li, Dehua Shen, Pengfei Wang and Wei Zhang

International Journal of Finance & Economics, 2021, vol. 26, issue 3, 4190-4225

Abstract: In this paper, we investigate whether investors respond differently to news coverage from local media and overseas media relying on the special setting of A‐ and H‐cross‐listing in China. By employing the abnormal stock return variance and the abnormal trading volume as investor reaction proxies, we document that both A‐share and H‐share investors tend to have stronger reactions to their own local media than to overseas media (referred to as local media preference). To provide further support, we utilize three natural experiments, that is, the introduction of colocation by the Stock Exchange of Hong Kong, the launch of Shanghai‐Hong Kong Stock Connect, and the inclusion of A‐shares in MSCI indices as well as alternative ways to construct our main variables. In addition, we also confirm that this local media preference strengthens the market segmentation between these two share classes.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1002/ijfe.2010

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4190-4225

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().