Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market

We explore whether economic links via trade affect aggregate Chinese stock market returns. We find that market return indices from countries that China net imports from can forecast the Chinese aggregate market return at the weekly time horizon. The stock returns of countries that China net exports to have no consistently significant OOS predictability.

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Year of publication:	2014
Authors:	Jordan, Steven J. ; Vivian, Andrew ; Wohar, Mark E.
Published in:	Journal of International Money and Finance. - Elsevier, ISSN 0261-5606. - Vol. 41.2014, C, p. 95-109
Publisher:	Elsevier
Subject:	China \| Forecast \| Import \| Export \| Macroeconomics \| Forecast combinations

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Type of publication:	Article
Classification:	C53 - Forecasting and Other Model Applications ; E37 - Forecasting and Simulation ; F37 - International Finance Forecasting and Simulation ; G15 - International Financial Markets ; G17 - Financial Forecasting
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010743972