The impact of Baidu Index sentiment on the volatility of China’s stock markets

Jianchun Fang, Giray Gozgor, Chi Keung Lau, Zhou Lu

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

This paper examines the relationship between investor sentiment and the volatility of China's stock markets. We use the data from Baidu, China's leading search engine, for information on investor sentiment. In two different Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models, the baseline model and the Baidu-Index extended model, we forecast the return volatility of China's stock markets. We find that the Baidu-Index extended model performs better than the baseline model. This paper shows that the search volume of relevant key words from Baidu Index improves volatility forecasting of China's stock markets.
LanguageEnglish
Number of pages8
JournalFinance Research Letters
Early online date29 Jan 2019
DOIs
Publication statusE-pub ahead of print - 29 Jan 2019

Fingerprint

China
Stock market
Sentiment
China's stock market
Investor sentiment
Key words
Volatility forecasting
Autoregressive conditional heteroskedasticity
Search engine
Return volatility

Cite this

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title = "The impact of Baidu Index sentiment on the volatility of China’s stock markets",
abstract = "This paper examines the relationship between investor sentiment and the volatility of China's stock markets. We use the data from Baidu, China's leading search engine, for information on investor sentiment. In two different Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models, the baseline model and the Baidu-Index extended model, we forecast the return volatility of China's stock markets. We find that the Baidu-Index extended model performs better than the baseline model. This paper shows that the search volume of relevant key words from Baidu Index improves volatility forecasting of China's stock markets.",
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The impact of Baidu Index sentiment on the volatility of China’s stock markets. / Fang, Jianchun ; Gozgor, Giray; Lau, Chi Keung; Lu, Zhou.

In: Finance Research Letters, 29.01.2019.

Research output: Contribution to journalArticle

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