Inferring private information from online news and searches: Correlation and prediction in Chinese stock market

Ruwei Zhao

Physica A: Statistical Mechanics and its Applications, 2019, vol. 528, issue C

Abstract: In this paper, we employ the difference between Baidu News (information supply) and Baidu Index (information demand) as the novel proxy for private information. The empirical results show that online news and searches are positively correlated with stock performance indicators. While, private information displays negative correlation with turnover and volatility. Besides, online news and searches hold solid predictive power for indicators. By comparison, private information only demonstrates reliable predictability with volatility. All these findings have some implications for investors who are interested in investing in Chinese stock market.

Keywords: Private information; Baidu news; Baidu index; Prediction; Chinese stock market (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:528:y:2019:i:c:s0378437119308398

DOI: 10.1016/j.physa.2019.121450

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