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Bai, Fan; Zhang, Yaqi; Chen, Zhonglu; Li, Yan
Finance research letters, July 2023, 2023-07-00, Letnik: 55Journal Article
•VDTWI positively impacts stock market returns.•Neither the level nor abnormal level of daily tug-of-war intensity has a significant predictive role.•Investors benefit from the predictive information of VDTWI. We examine the predictive role of the volatility of daily tug-of-war intensity (VDTWI) in stock market returns. Based on the empirical evidence in China, we show that VDTWI significantly and positively impacts stock market returns. Moreover, the out-of-sample forecasting of VDTWI also performs well. Results show that the model of VDTWI has an out-of-sample R-squared of 3.473% and great economic values, of which certainty equivalent return and Sharpe ratio gains are 8.683 and 0.630, respectively. Furthermore, combining the volatility of daily tug-of-war intensity and popular predictors can improve forecasting performance.
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Leto | Faktor vpliva | Izdaja | Kategorija | Razvrstitev | ||||
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JCR | SNIP | JCR | SNIP | JCR | SNIP | JCR | SNIP |
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