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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...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
MDPI
2019
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| Materias: | |
| 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 |