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

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.
Original languageEnglish
Article number101099
Number of pages8
JournalFinance Research Letters
Volume32
Early online date29 Jan 2019
DOIs
Publication statusPublished - 1 Jan 2020

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