We propose a global expected business cycle condition factor (GEBC) relying on OECD leading economic indicators of 18 stock markets through Principal Component Analysis (PCA) approach, and show that this index is a powerful predictor for stock returns around the globe both in- and out-of-sample....

This paper investigates the predictive ability of international volatility risk for the daily aggregate Chinese stock market returns. We employ the innovations in implied volatility indices of seven major international markets as our international volatility risk proxies. We find that...