The macroeconomic attention index: Evidence from China

Qing Zeng, Jiawei Cao, Yangli Guo and Dayong Dong

Finance Research Letters, 2023, vol. 52, issue C

Abstract: This study mainly constructs Chinese macroeconomic attention indices (CMAI) based on the Shanghai composite index stock bar of Guba Eastmoney, and takes the Shanghai Stock Exchange Composite (SSEC) return as an example to test the predictive ability of this newly constructed index. The results show that the CMAI of GDP is the best predictor of SSEC return. In addition, the diffusion index extracted by three dimensionality reduction methods as well as five forecast combinations also perform well.

Keywords: SSEC return; CMAI; Dimensionality reduction method; Forecast combination (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007437

DOI: 10.1016/j.frl.2022.103567

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