The Empirical Study On Segmentedary Stock Markets Of Chinese A-share And B-share : At From The Angle Of Behavioral Finance

Securities Market Segmentation is a phenomenon that some indicators of the securities issued by the same listed companies in different stock markets, such as the price, the yield rate and the risk and so on, have different performance because of the obstacles to circulation, the astriction of transactional rules and the difference of information transfer in these different stock market. This phenomenon can hinder the efficient flow of the information in stock market, affect the validity of the stock market asset pricing and reduce the efficiency of the market. All of these lead the research about securities market segmentation to be one of the most popular researches in the last 30 years.Because of the capital rationing and stock market's history, Chinese stock market also have severe market segmentation phenomenon and the price of the securities issued by the same listed companies is different from each other in the A-share and the B-share. Besides, a more exceptional phenomenon is that the price in B-share is lower than that in A-share that is different from the common situation in the international stock market. It is called"The B-share discount Puzzle".In this paper, we study Chinese stock market segmentation at the angle of behavioral finance and introduce the behavioral finance models to the research of A-share and B-share. We used the BAPM model to explain the reason of B-share discount puzzle and we used the IANM model to analyse the microcosmic character of A and B share stock market. The research results show that the noise trader exist in both of A and B shares stock market generally and The Noise Trader Risk (NTR) in B-share is greater than the NTR in A-share. The Noise Trader Risk (NTR) in both of A and B shares has obvious effect on stock returns and it can explain the B-share discount puzzle Partially. The BAPM beta in A-share stock market is larger than that in B-share stock market and the information trader may correct the pricing errors introduced by the noise traders, but they may overestimate the magnitude of the errors and lead to the result of"Overreaction".