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China Markets and Global Stock Return Predictability

Sun, Yulong - 2020

We have seen China's growing role in the past decades, and the world economy has become more exposed to the influence … of China. This paper explores emerging China's impact on the global equity market through the lens of asset pricing. We … study the predictive properties of the lagged China returns for global stock returns and find that the lagged China returns …

Persistent link: https://www.econbiz.de/10012824300

Does Investor Sentiment Predict Stock Returns? The Evidence from Chinese Stock Market

Bu, Hui - 2017

This paper examines the proxy variables of investor sentiment in Chinese stock market carefully, and tries to construct an investor sentiment index indirectly. We use cross correlation analysis to examine lead-lag relationship between the proxy variables and HS300 index. The results show that...

Persistent link: https://www.econbiz.de/10012969999

Dissecting the Effectiveness of Firm Financial Strength in Predicting Chinese Stock Market

Jiang, Fuwei - 2018

Our study tries to explore whether the financial strength proxied by F-score can predict the returns in Chinese stock market and its economic explanations. Results show that the financially stronger firms can generate higher expected raw returns and abnormal returns in Fama-French five-factor...

Persistent link: https://www.econbiz.de/10012929887

Forecasting Chinese Stock Market with Extreme Values

Xie, Haibin - 2013

By decomposing stock returns with high-low extreme values, this paper investigates the predictability of Chinese stock market with a vector autoregressive model. Empirical studies, both in-sample and out-of-sample, performed on the Shanghai Stock Exchange Composite Index (SSEC) show that the...

Persistent link: https://www.econbiz.de/10013079244

Are Stock Returns Predictable in China? A Machine Learning Approach

wu, huihang; wei, xingkong; Zhang, Xiaoyan - 2021

to introduce machine learning method to answer whether stock returns are predictable in China. With 108 characteristics … over traditional techniques in China …

Persistent link: https://www.econbiz.de/10013313205

Can Stock Price Image Predict Future Return? Evidence from Chinese Stock Market

Lu, Huahao; wu, huihang - 2022

Based on Jiang, Kelly, and Xiu (JKX, 2021), we propose a new machine learning model to predict future returns using the price images in the Chinese stock market. We show that our model can achieve a more accurate out-of-sample prediction of a stock’s future return than a traditional model. The...

Persistent link: https://www.econbiz.de/10013403951

The Predictable Behavior of Security Returns : A Comparative Study Between US and China Markets

Luo, Yue - 2019

comparison shows that the security return predictability in China market is even stronger than that in US market in recent period … between US market and China market. The findings suggest that the significant strong predictability Jegadeesh (1990) finds …

Persistent link: https://www.econbiz.de/10012891713

The Role of Jumps and Leverage in Forecasting Volatility in International Equity Markets

Buncic, Daniel - 2016

We analyse the importance of jumps and the leverage effect on forecasts of realized volatility in a large cross-section of 18 international equity markets, using daily realized measures data from the Oxford-Man Realized Library, and two widely employed empirical models for realized volatility...

Persistent link: https://www.econbiz.de/10012983715

Book-to-market decomposition, net share issuance, and the cross section of global stock returns

Blackburn, Douglas W.; Cakici, Nusret - In: Journal of risk and financial management : JRFM 12 (2019) 2/90, pp. 1-29

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

Persistent link: https://www.econbiz.de/10012022063

Forecasting returns with fundamentals-removed investor sentiment

Stivers, Adam - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 319-341

The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor...

Persistent link: https://www.econbiz.de/10011312208

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