Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market

Steven J. Jordan, Andrew Vivian and Mark Wohar ()

Journal of International Money and Finance, 2014, vol. 41, issue C, 95-109

Abstract: We explore whether economic links via trade affect aggregate Chinese stock market returns. We find that market return indices from countries that China net imports from can forecast the Chinese aggregate market return at the weekly time horizon. The stock returns of countries that China net exports to have no consistently significant OOS predictability.

Keywords: China; Forecast; Import; Export; Macroeconomics; Forecast combinations (search for similar items in EconPapers)
JEL-codes: C53 E37 F37 G15 G17 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:41:y:2014:i:c:p:95-109

DOI: 10.1016/j.jimonfin.2013.11.001

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