An Analysis of Valuation Differences Between A-share and Hong Kong Stock Markets from the Perspective of Investor Behavior

Abstract

With the deepening integration of global financial markets, the long-standing "AH share premium" phenomenon—where A-shares of cross-listed companies are typically priced higher than their Hong Kong counterparts—remains a key focus, even as mechanisms like Shanghai-Hong Kong Stock Connect narrow market gaps. Traditional explanations centered on market segmentation have weakened amid enhanced connectivity, shifting attention to investor behavior differences as a critical driver. This study focuses on NetEase (600900.SH/09999.HK) and attempts to explore the behaviors related to the AH share premium from three dimensions: investor sentiment, trading activity, and capital flow. The choice of NetEase as a case has certain particularities. As a leading internet company, its businesses cover fields such as gaming and media that are familiar to the public. A-share retail investors pay high attention to it, while Hong Kong stock institutions focus more on its global competitiveness. This difference may make the impact of behavioral factors more prominent. By analyzing the transaction data and sentiment indicators from 2015 to 2024, this study can not only deepen the understanding of the stock price formation mechanism but also provide more practical decision - making references for investors in the market.