Financial indicators analysis using machine learning: Evidence from Chinese stock market

Chencheng Zhao, Xianghui Yuan, Jun Long, Liwei Jin and Bowen Guan

Finance Research Letters, 2023, vol. 58, issue PD

Abstract: This study employs machine learning models to explore the predictive power of 10 categories of financial indicators on the Chinese stock market. We examine whether influential financial indicators fall into distinct categories of greater importance for predicting stock returns. The findings demonstrate that financial indicators across 10 categories hold predictive power for stock returns on Chinese market, with neural network models outperforming linear ones. Profitability and growth indicators are among the most influential indicators. This study contributes to a better understanding of financial indicators and demonstrates the effectiveness of machine learning models in the Chinese stock market.

Keywords: Financial indicators; Machine learning; Return prediction (search for similar items in EconPapers)
JEL-codes: C52 C55 G17 G32 G39 M41 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323009625

DOI: 10.1016/j.frl.2023.104590

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