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Heterogeneous Beliefs, Investor Sentiment and Premium Rate of A Shares Relating to H Shares

Author: JinTian
Tutor: YaoZuo
School: Zhejiang University
Course: Business management
Keywords: Heterogeneous Beliefs Investor sentiment Short selling restrictions AH shares
CLC: F832.51
Type: Master's thesis
Year: 2010
Downloads: 398
Quote: 1
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Abstract


Heterogeneous beliefs and investor sentiment on the development of behavioral finance , asset pricing theory was proven to explain a large number of financial vision . Short selling restrictions , heterogeneous beliefs , investor sentiment compared to the effective arbitrage, homogeneous beliefs and rational investors more profound portray the characteristics of China's capital market and to distinguish between China and the Hong Kong market . This as an opportunity in this article to the 57 companies listed in the A-share and H -share market in November 2006 to November 2007 at the same time as the sample , the introduction of heterogeneous beliefs and investor sentiment are two factors to explain the A shares of H universal , long-term vision of irrational premium . The results show that under conditions of short sales restrictions on the Mainland , heterogeneous beliefs , the stronger the A - share price is more likely to be overestimated , the higher the premium of A shares H shares ; the mainland investor sentiment more high A - share price more likely to be overestimated , the higher the premium of A shares H shares . In addition, the study also found that investor sentiment can enhance the role of heterogeneous beliefs lead to asset premium . Heterogeneous beliefs and investor sentiment theory can explain the irrational premium of A shares H shares .

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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