Artikel
Can the Baidu Index predict realized volatility in the Chinese stock market?
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.
- Language
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Englisch
- Bibliographic citation
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Journal: Financial Innovation ; ISSN: 2199-4730 ; Volume: 7 ; Year: 2021 ; Issue: 1 ; Pages: 1-31 ; Heidelberg: Springer
- Classification
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Management
- Subject
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Baidu Index
Chinese stock market
HAR model
Realized volatility
- Event
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Geistige Schöpfung
- (who)
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Zhang, Wei
Yan, Kai
Shen, Dehua
- Event
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Veröffentlichung
- (who)
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Springer
- (where)
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Heidelberg
- (when)
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2021
- DOI
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doi:10.1186/s40854-020-00216-y
- Handle
- Last update
- 10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Zhang, Wei
- Yan, Kai
- Shen, Dehua
- Springer
Time of origin
- 2021
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