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Baidu index and predictability of Chinese stock returns

Shen, Dehua; Zhang, Yongjie; Xiong, Xiong; Zhang, Wei - In: Financial innovation : FIN 3 (2017) 4, pp. 1-8

A number of studies have investigated the predictability of Chinese stock returns with economic variables. Given the newly emerged dataset from the Internet, this paper investigates whether the Baidu Index can be employed to predict Chinese stock returns. The empirical results show that 1) the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011661635

Computational experiments successfully predict the emergence of autocorrelations in ultra-high-frequency stock returns

Zhou, Jian; Gu, Gao-Feng; Jiang, Zhi-Qiang; Xiong, Xiong; … - In: Computational economics 50 (2017) 4, pp. 579-594

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011783456

Daily happiness and stock returns : the case of Chinese company listed in the United States

Li, Xiao; Shen, Dehua; Xue, Mei; Zhang, Wei - In: Economic modelling 64 (2017), pp. 496-501

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011761297

R2 and idiosyncratic volatility : which captures the firm-specific return variation?

Zhang, Wei; Li, Xiao; Shen, Dehua; Teglio, Andrea - In: Economic modelling 55 (2016), pp. 298-304

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011642527

Market reaction to internet news : information diffusion and price pressure

Zhang, Yongjie; Song, Weixin; Shen, Dehua; Zhang, Wei - In: Economic modelling 56 (2016), pp. 43-49

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011645851

Realized volatility analysis from various perspectives based on Hilbert Huang transform

Hou, Sizhe; Chen, Jiangrui; Yin, Lianqian; Zhang, Wei; … - In: International journal of economics and finance 7 (2015) 12, pp. 189-199

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011411813

The five-factor asset pricing model tests for the Chinese stock market

Guo, Bin; Zhang, Wei; Zhang, Yongjie; Zhang, Han - In: Pacific-Basin finance journal 43 (2017), pp. 84-106

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011800649

Is idiosyncratic volatility priced in cryptocurrency markets?

Zhang, Wei; Li, Yi - In: Research in international business and finance 54 (2020), pp. 1-15

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012550051

Reexamining time-varying bond risk premia in the post-financial crisis era

Zhang, Han; Fan, Xiaoyun; Guo, Bin; Zhang, Wei - In: Journal of economic dynamics & control 109 (2019), pp. 1-19

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012314108

Social media effect, investor recognition and the cross-section of stock returns

Meng, Xiangtong; Zhang, Wei; Li, Youwei; Cao, Xing; Feng, Xu - In: International review of financial analysis 67 (2020), pp. 1-15

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012299199