Unexpected Information Demand and Volatility Clustering of Chinese Stock Returns: Evidence from Baidu Index

This paper employs the Baidu Index as the novel proxy for unexpected information demand and shows that this novel proxy can explain the volatility clustering of Chinese stock returns. Generally speaking, these findings suggest that investors in China could take advantage of the Baidu Index to obtain...

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Detalles Bibliográficos
Autores principales: Chu, Gang, Li, Xiao, Shen, Dehua, Zhang, Yongjie
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2019
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7516466/
https://www.ncbi.nlm.nih.gov/pubmed/33285819
http://dx.doi.org/10.3390/e22010044
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author Chu, Gang
Li, Xiao
Shen, Dehua
Zhang, Yongjie
author_facet Chu, Gang
Li, Xiao
Shen, Dehua
Zhang, Yongjie
author_sort Chu, Gang
collection PubMed
description This paper employs the Baidu Index as the novel proxy for unexpected information demand and shows that this novel proxy can explain the volatility clustering of Chinese stock returns. Generally speaking, these findings suggest that investors in China could take advantage of the Baidu Index to obtain information and then improve their investment decision.
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spelling pubmed-75164662020-11-09 Unexpected Information Demand and Volatility Clustering of Chinese Stock Returns: Evidence from Baidu Index Chu, Gang Li, Xiao Shen, Dehua Zhang, Yongjie Entropy (Basel) Article This paper employs the Baidu Index as the novel proxy for unexpected information demand and shows that this novel proxy can explain the volatility clustering of Chinese stock returns. Generally speaking, these findings suggest that investors in China could take advantage of the Baidu Index to obtain information and then improve their investment decision. MDPI 2019-12-28 /pmc/articles/PMC7516466/ /pubmed/33285819 http://dx.doi.org/10.3390/e22010044 Text en © 2019 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).
spellingShingle Article
Chu, Gang
Li, Xiao
Shen, Dehua
Zhang, Yongjie
Unexpected Information Demand and Volatility Clustering of Chinese Stock Returns: Evidence from Baidu Index
title Unexpected Information Demand and Volatility Clustering of Chinese Stock Returns: Evidence from Baidu Index
title_full Unexpected Information Demand and Volatility Clustering of Chinese Stock Returns: Evidence from Baidu Index
title_fullStr Unexpected Information Demand and Volatility Clustering of Chinese Stock Returns: Evidence from Baidu Index
title_full_unstemmed Unexpected Information Demand and Volatility Clustering of Chinese Stock Returns: Evidence from Baidu Index
title_short Unexpected Information Demand and Volatility Clustering of Chinese Stock Returns: Evidence from Baidu Index
title_sort unexpected information demand and volatility clustering of chinese stock returns: evidence from baidu index
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7516466/
https://www.ncbi.nlm.nih.gov/pubmed/33285819
http://dx.doi.org/10.3390/e22010044
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AT lixiao unexpectedinformationdemandandvolatilityclusteringofchinesestockreturnsevidencefrombaiduindex
AT shendehua unexpectedinformationdemandandvolatilityclusteringofchinesestockreturnsevidencefrombaiduindex
AT zhangyongjie unexpectedinformationdemandandvolatilityclusteringofchinesestockreturnsevidencefrombaiduindex

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