Unexpected Information Demand and Volatility Clustering of Chinese Stock Returns: Evidence from Baidu Index
This paper employs the Baidu Index as the novel proxy for unexpected information demand and shows that this novel proxy can explain the volatility clustering of Chinese stock returns. Generally speaking, these findings suggest that investors in China could take advantage of the Baidu Index to obtain...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-12-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/22/1/44 |
| _version_ | 1798038878599249920 |
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| author | Gang Chu Xiao Li Dehua Shen Yongjie Zhang |
| author_facet | Gang Chu Xiao Li Dehua Shen Yongjie Zhang |
| author_sort | Gang Chu |
| collection | DOAJ |
| description | This paper employs the Baidu Index as the novel proxy for unexpected information demand and shows that this novel proxy can explain the volatility clustering of Chinese stock returns. Generally speaking, these findings suggest that investors in China could take advantage of the Baidu Index to obtain information and then improve their investment decision. |
| first_indexed | 2024-04-11T21:46:22Z |
| format | Article |
| id | doaj.art-f8a2d6c9005d40eaa8bdbb713993f9dc |
| institution | Directory Open Access Journal |
| issn | 1099-4300 |
| language | English |
| last_indexed | 2024-04-11T21:46:22Z |
| publishDate | 2019-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Entropy |
| spelling | doaj.art-f8a2d6c9005d40eaa8bdbb713993f9dc2022-12-22T04:01:24ZengMDPI AGEntropy1099-43002019-12-012214410.3390/e22010044e22010044Unexpected Information Demand and Volatility Clustering of Chinese Stock Returns: Evidence from Baidu IndexGang Chu0Xiao Li1Dehua Shen2Yongjie Zhang3College of Management and Economics, Tianjin University, Tianjin 300072, ChinaSchool of Finance, Nankai University, Tianjin 300350, ChinaCollege of Management and Economics, Tianjin University, Tianjin 300072, ChinaCollege of Management and Economics, Tianjin University, Tianjin 300072, ChinaThis paper employs the Baidu Index as the novel proxy for unexpected information demand and shows that this novel proxy can explain the volatility clustering of Chinese stock returns. Generally speaking, these findings suggest that investors in China could take advantage of the Baidu Index to obtain information and then improve their investment decision.https://www.mdpi.com/1099-4300/22/1/44volatility clusteringbaidu indexinformation demandgeneralized autoregressive conditional heteroscedasticity model (garch)mixture of distribution hypothesis |
| spellingShingle | Gang Chu Xiao Li Dehua Shen Yongjie Zhang Unexpected Information Demand and Volatility Clustering of Chinese Stock Returns: Evidence from Baidu Index Entropy volatility clustering baidu index information demand generalized autoregressive conditional heteroscedasticity model (garch) mixture of distribution hypothesis |
| title | Unexpected Information Demand and Volatility Clustering of Chinese Stock Returns: Evidence from Baidu Index |
| title_full | Unexpected Information Demand and Volatility Clustering of Chinese Stock Returns: Evidence from Baidu Index |
| title_fullStr | Unexpected Information Demand and Volatility Clustering of Chinese Stock Returns: Evidence from Baidu Index |
| title_full_unstemmed | Unexpected Information Demand and Volatility Clustering of Chinese Stock Returns: Evidence from Baidu Index |
| title_short | Unexpected Information Demand and Volatility Clustering of Chinese Stock Returns: Evidence from Baidu Index |
| title_sort | unexpected information demand and volatility clustering of chinese stock returns evidence from baidu index |
| topic | volatility clustering baidu index information demand generalized autoregressive conditional heteroscedasticity model (garch) mixture of distribution hypothesis |
| url | https://www.mdpi.com/1099-4300/22/1/44 |
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