Categorial economic policy uncertainty indices or Twitter-based uncertainty indices? Evidence from Chinese stock market

Xinjie Lu and Qiaoqi Lang

Finance Research Letters, 2023, vol. 55, issue PB

Abstract: This paper mainly investigates the performances of Chinese categorial economic policy uncertainty (EPU) indices and categorial Twitter-based uncertainty for predicting Chinese stock market volatility. Results show both types of uncertainty indices can predict Chinese stock market volatility, especially the categorial Twitter-based uncertainty indices, showing uncertainty indices constructed based on social media contain more valuable information than newspaper-oriented uncertainty indices. In addition, we highlight the predictive performances of the Least absolute shrinkage and selection operator (LASSO) model with regime switching for forecasting Chinese stock market volatility.

Keywords: Categorial EPU indices; Categorial twitter-based uncertainty indices; LASSO model; Regime switching; Volatility forecasting (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003082

DOI: 10.1016/j.frl.2023.103936

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