There is an O(sqrt(n)) solution, as the op figured out based on @greybeard's hint.
From the first list, hash the first sqrt(n) elements. For the second list, look at the elements advancing by sqrt(n) elements at each time.
However, we might ask if there is a solution that might be close to O(k) (or less!) if k is small and n is large. In fact, I claim there is an O(sqrt(k)) solution.
For that, I propose an incremental process of increasing the step size. So the algorithm looks like this:
First, grab 2 elements from the first list - hash those values (and keep position of values as lookup value, so this should be thought of as a HashMap with key being elements of the list and values being positions).
Compare those elements with the first and third element from the second list.
Hash the values from the second list as well.
Next, look at the third element from the first list - hashing the value. In the process, see if it matches either of the elements found in the second list. Next, advance 3 elements in the second list, and compare its value - remember that values as well.
Continue like this:
increase the prefix length from the first list, and at each point, increasing the step size of the second list. Whenever you grab a new element for the first list, you have to compare it with values in the second list, but that's fine because it does not significantly affect performance.
Notice that when your prefix length is p, you have already checked the first p*(p+1)/2 elements in the second list. So for a given value of k, this process will require that prefix length p is approximately sqrt(2k), which is O(sqrt(k)) as required.