This paper incorporates the Baidu Index into various heterogeneous autoregressive type time series models and shows that the Baidu Index is a superior predictor of realized volatility in the SSE 50 Index.Furthermore,t...This paper incorporates the Baidu Index into various heterogeneous autoregressive type time series models and shows that the Baidu Index is a superior predictor of realized volatility in the SSE 50 Index.Furthermore,the predictability of the Baidu Index is found to rise as the forecasting horizon increases.We also find that continuous components enhance predictive power across all horizons,but that increases are only sustained in the short and medium terms,as the long-term impact on volatility is less persistent.Our findings should be expected to influence investors interested in constructing trading strategies based on realized volatility.展开更多
A number of studies have investigated the predictability of Chinese stock returns with economic variables.Given the newly emerged dataset from the Internet,this paper investigates whether the Baidu Index can be employ...A number of studies have investigated the predictability of Chinese stock returns with economic variables.Given the newly emerged dataset from the Internet,this paper investigates whether the Baidu Index can be employed to predict Chinese stock returns.The empirical results show that 1)the Search Frequency of Baidu Index(SFBI)can predict next day’s price changes;2)the stock prices go up when individual investors pay less attention to the stocks and go down when individual investors pay more attention to the stocks;3)the trading strategy constructed by shorting on the most SFBI and longing on the least SFBI outperforms the corresponding market index returns without consideration of the transaction costs.These results complement the existing literature on the predictability of Chinese stock returns and have potential implications for asset pricing and risk management.展开更多
The progressive removal of short-selling constraints in the Chinese stock market provides us with a natural experiment to investigate the relationship between firm-specific return variation(FSRV)and price informativen...The progressive removal of short-selling constraints in the Chinese stock market provides us with a natural experiment to investigate the relationship between firm-specific return variation(FSRV)and price informativeness.Based on the empirical finding that idiosyncratic volatility is a satisfied proxy for FSRV when the information environment for individual firms improves,we mainly find that the FSRV is negatively related to price informativeness.This negative relationship is robust to alternative model specifications,alternative proxies for price informativeness,and alternative estimation windows.Generally speaking,our results complement the extant literature on the mixed relationships between FSRV and price informativeness by providing cross-sectional evidence.展开更多
基金This work is supported by the National Natural Science Foundation of China(71790594,71701150,and U1811462).
文摘This paper incorporates the Baidu Index into various heterogeneous autoregressive type time series models and shows that the Baidu Index is a superior predictor of realized volatility in the SSE 50 Index.Furthermore,the predictability of the Baidu Index is found to rise as the forecasting horizon increases.We also find that continuous components enhance predictive power across all horizons,but that increases are only sustained in the short and medium terms,as the long-term impact on volatility is less persistent.Our findings should be expected to influence investors interested in constructing trading strategies based on realized volatility.
基金This work is supported by the National Natural Science Foundation of China(71320107003 and 71532009).
文摘A number of studies have investigated the predictability of Chinese stock returns with economic variables.Given the newly emerged dataset from the Internet,this paper investigates whether the Baidu Index can be employed to predict Chinese stock returns.The empirical results show that 1)the Search Frequency of Baidu Index(SFBI)can predict next day’s price changes;2)the stock prices go up when individual investors pay less attention to the stocks and go down when individual investors pay more attention to the stocks;3)the trading strategy constructed by shorting on the most SFBI and longing on the least SFBI outperforms the corresponding market index returns without consideration of the transaction costs.These results complement the existing literature on the predictability of Chinese stock returns and have potential implications for asset pricing and risk management.
基金supported by the National Natural Science Foundation of China(Grant Number:71320107003).
文摘The progressive removal of short-selling constraints in the Chinese stock market provides us with a natural experiment to investigate the relationship between firm-specific return variation(FSRV)and price informativeness.Based on the empirical finding that idiosyncratic volatility is a satisfied proxy for FSRV when the information environment for individual firms improves,we mainly find that the FSRV is negatively related to price informativeness.This negative relationship is robust to alternative model specifications,alternative proxies for price informativeness,and alternative estimation windows.Generally speaking,our results complement the extant literature on the mixed relationships between FSRV and price informativeness by providing cross-sectional evidence.
