Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market
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.
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Volume (Year): 41 (2014)
Issue (Month): C ()
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