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

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  • Lu, Xinjie
  • Lang, Qiaoqi

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.

Suggested Citation

  • Lu, Xinjie & Lang, Qiaoqi, 2023. "Categorial economic policy uncertainty indices or Twitter-based uncertainty indices? Evidence from Chinese stock market," Finance Research Letters, Elsevier, vol. 55(PB).
    • Handle: RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003082
    DOI: 10.1016/j.frl.2023.103936
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    References listed on IDEAS

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    Cited by:

    1. Wangfang Xu & Wenjia Rao & Longbao Wei & Qianqian Wang, 2023. "A Normalized Global Economic Policy Uncertainty Index from Unsupervised Machine Learning," Mathematics, MDPI, vol. 11(15), pages 1-10, July.

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