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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- David E. Rapach & Jack K. Strauss & Guofu Zhou, 2010. "Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy," Review of Financial Studies, Society for Financial Studies, vol. 23(2), pages 821-862, February.
- Goh, Jeremy C. & Jiang, Fuwei & Tu, Jun & Wang, Yuchen, 2013. "Can US economic variables predict the Chinese stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 22(C), pages 69-87.
- Kenneth D. West & Todd Clark, 2006.
"Approximately Normal Tests for Equal Predictive Accuracy in Nested Models,"
NBER Technical Working Papers
0326, National Bureau of Economic Research, Inc.
- Clark, Todd E. & West, Kenneth D., 2007. "Approximately normal tests for equal predictive accuracy in nested models," Journal of Econometrics, Elsevier, vol. 138(1), pages 291-311, May.
- Todd E. Clark & Kenneth D. West, 2005. "Approximately normal tests for equal predictive accuracy in nested models," Research Working Paper RWP 05-05, Federal Reserve Bank of Kansas City.
- Liugang Sheng, 2013. "Did China diversify its foreign reserves?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(1), pages 102-125, 01.
- David E. Rapach & Jack K. Strauss & Guofu Zhou, 2013. "International Stock Return Predictability: What Is the Role of the United States?," Journal of Finance, American Finance Association, vol. 68(4), pages 1633-1662, 08.
- Joakim Westerlund & Paresh K Narayan, 2012.
"Does the choice of estimator matter when forecasting returns?,"
Financial Econometics Series
2012_01, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
- Westerlund, Joakim & Narayan, Paresh Kumar, 2012. "Does the choice of estimator matter when forecasting returns?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2632-2640.
- Mark W. Watson & James H. Stock, 2004. "Combination forecasts of output growth in a seven-country data set," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(6), pages 405-430.
- Julie Juan Li & Kevin Zheng Zhou & Alan T Shao, 2009. "Competitive position, managerial ties, and profitability of foreign firms in China: an interactive perspective," Journal of International Business Studies, Palgrave Macmillan, vol. 40(2), pages 339-352, February.
- Lauren Cohen & Andrea Frazzini, 2008. "Economic Links and Predictable Returns," Journal of Finance, American Finance Association, vol. 63(4), pages 1977-2011, 08.
- Chan, Kam C. & Fung, Hung-Gay & Thapa, Samanta, 2007. "China financial research: A review and synthesis," International Review of Economics & Finance, Elsevier, vol. 16(3), pages 416-428.
- Cheng Hsiao & H. Steve Ching & Shui Ki Wan, 2012. "A Panel Data Approach For Program Evaluation: Measuring The Benefits Of Political And Economic Integration Of Hong Kong With Mainland China," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(5), pages 705-740, 08.
- Campbell, John & Thompson, Samuel P., 2008.
"Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?,"
2622619, Harvard University Department of Economics.
- John Y. Campbell & Samuel B. Thompson, 2008. "Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?," Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1509-1531, July.
- Jonathan Ingersoll & Ivo Welch, 2007.
"Portfolio Performance Manipulation and Manipulation-proof Performance Measures,"
Review of Financial Studies,
Society for Financial Studies, vol. 20(5), pages 1503-1546, 2007 17.
- William Goetzmann & Jonathan Ingersoll & Matthew Spiegel & Ivo Welch, 2002. "Portfolio Performance Manipulation and Manipulation-Proof Performance Measures," Yale School of Management Working Papers amz2471, Yale School of Management, revised 01 Apr 2006.
- Stambaugh, Robert F., 1999.
Journal of Financial Economics,
Elsevier, vol. 54(3), pages 375-421, December.
- Chen, Xuanjuan & Kim, Kenneth A. & Yao, Tong & Yu, Tong, 2010. "On the predictability of Chinese stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 18(4), pages 403-425, September.
- Harvey, David I & Leybourne, Stephen J & Newbold, Paul, 1998. "Tests for Forecast Encompassing," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 254-59, April.
- Lee, Cheng F & Rui, Oliver M, 2000. "Does Trading Volume Contain Information to Predict Stock Returns? Evidence from China's Stock Markets," Review of Quantitative Finance and Accounting, Springer, vol. 14(4), pages 341-60, June.
- Aiolfi, Marco & Timmermann, Allan, 2006. "Persistence in forecasting performance and conditional combination strategies," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 31-53.
- Lewellen, Jonathan, 2004. "Predicting returns with financial ratios," Journal of Financial Economics, Elsevier, vol. 74(2), pages 209-235, November.
When requesting a correction, please mention this item's handle: RePEc:eee:jimfin:v:41:y:2014:i:c:p:95-109. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.