IDEAS home Printed from https://ideas.repec.org/a/eee/jbfina/v189y2026ics0378426626001172.html

Heterogeneous attention and twin stock anomaly: A natural experiment from the daily price limit rule

Author

Listed:
  • Ren, Honglin
  • Gai, Zhen
  • Wang, Chongjun
  • Xu, Nianhang

Abstract

We examine whether variations in cross-market differences in investor attention drives price disparities in twin stocks. In the Chinese A-share market, price limit rules and rounded return rankings create exogenous variations in investor attention. Using these natural experiments, we show that A-H shares receiving greater attention in the A-share market exhibit a greater price premium following limit-up events. This effect is weaker for stocks with less ex-ante attention disparities across markets and during market-wide distractions. Using internet search volumes, we find that attention disparity explains 3.30% to 7.95% of the daily variations in the A-H price premium. Our findings highlight the role of investor attention in pricing twin stocks.

Suggested Citation

  • Ren, Honglin & Gai, Zhen & Wang, Chongjun & Xu, Nianhang, 2026. "Heterogeneous attention and twin stock anomaly: A natural experiment from the daily price limit rule," Journal of Banking & Finance, Elsevier, vol. 189(C).
    • Handle: RePEc:eee:jbfina:v:189:y:2026:i:c:s0378426626001172
    DOI: 10.1016/j.jbankfin.2026.107743
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378426626001172
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.jbankfin.2026.107743?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:189:y:2026:i:c:s0378426626001172. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jbf .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.