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Forecasting volatility with price limit hits : evidence from Chinese stock market
Chu, Xiaojun; Qiu, Jianying - In: Emerging markets, finance & trade : a journal of the … 55 (2019) 5, pp. 1034-1050
Persistent link: https://www.econbiz.de/10012210669
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Which sentiment index is more informative to forecast stock market volatility? : evidence from China
Liang, Chao; Tang, Linchun; Li, Yan; Wei, Yu - In: International review of financial analysis 71 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012437093
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Forecasting stock market realized volatility : the role of investor attention to the price of petroleum products
Li, Dakai - In: International review of economics & finance : IREF 90 (2024), pp. 115-122
Persistent link: https://www.econbiz.de/10014446891
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Investor sentiment based on scaled PCA method : a powerful predictor of realized volatility in the Chinese stock market
Song, Ziyu; Gong, Xiaomin; Zhang, Cheng; Yu, Changrui - In: International review of economics & finance : IREF 83 (2023), pp. 528-545
Persistent link: https://www.econbiz.de/10014246745
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Forecasting aggregate stock market volatility with industry volatilities : the role of spillover index
He, Mengxi; Wang, Yudong; Zeng, Qing; Zhang, Yaojie - In: Research in international business and finance 65 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014435752
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Sentiment indices and stock returns : evidence from China
Xu, Yongan; Wang, Jianqiong; Chen, Zhonglu; Liang, Chao - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 1063-1080
Persistent link: https://www.econbiz.de/10014253347
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Can the Baidu Index predict realized volatility in the Chinese stock market?
Zhang, Wei; Yan, Kai; Shen, Dehua - In: Financial innovation : FIN 7 (2021), pp. 1-31
that the Baidu Index is a superior predictor of realized volatility in the SSE 50 Index. Furthermore, the predictability of …-term impact on volatility is less persistent. Our findings should be expected to influence investors interested in constructing … trading strategies based on realized volatility. …
Persistent link: https://www.econbiz.de/10012418517
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Does realized skewness predict the cross-section of Chinese stock returns?
Jiang, Yuexiang; Long, Huaigang; Zaremba, Adam - In: Finance research letters 58 (2023) 2, pp. 1-10
Persistent link: https://www.econbiz.de/10014583518
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The fluctuation correlation between investor sentiment and stock index using VMD-LSTM : evidence from China stock market
Gao, Zhenbin; Zhang, Jie - In: The North American journal of economics and finance : a … 66 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014483735
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Air quality index and the Chinese stock market volatility : evidence from both market and sector indices
Shen, Lihua; Lu, Xinjie; Toan Luu Duc Huynh; Liang, Chao - In: International review of economics & finance : IREF 84 (2023), pp. 224-239
Persistent link: https://www.econbiz.de/10014343120