The volatility of daily tug-of-war intensity and stock market returns

被引:0
作者
Bai, Fan [1 ]
Zhang, Yaqi [2 ]
Chen, Zhonglu [1 ]
Li, Yan [3 ]
机构
[1] Sichuan Tourism Univ, Sch Econ & Management, Chengdu, Peoples R China
[2] Univ Hong Kong, HKU Business Sch, Hong Kong, Peoples R China
[3] Xi An Jiao Tong Univ, Sch Econ & Finance, Xian, Peoples R China
关键词
Daily tug of war; Volatility of daily tug-of-war intensity; Return forecasting; EQUITY PREMIUM; COMBINATION FORECASTS; RISK; PREDICTABILITY; SAMPLE;
D O I
10.1016/j.frl.2023.103867
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We examine the predictive role of the volatility of daily tug-of-war intensity (VDTWI) in stock market returns. Based on the empirical evidence in China, we show that VDTWI significantly and positively impacts stock market returns. Moreover, the out-of-sample forecasting of VDTWI also performs well. Results show that the model of VDTWI has an out-of-sample R-squared of 3.473% and great economic values, of which certainty equivalent return and Sharpe ratio gains are 8.683 and 0.630, respectively. Furthermore, combining the volatility of daily tug-of-war intensity and popular predictors can improve forecasting performance.
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页数:6
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