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Energy-related uncertainty and Chinese stock market returns

Author

Listed:
  • Wang, Yubao
  • Huang, Xiaozhou
  • Huang, Zhendong

Abstract

This study investigates the predictive power of energy-related uncertainty (EUI) from China, the U.S., and globally on Chinese stock market returns using the CSI 300 index as a representative and incorporating nine popular economic variables for comparison. The results show that the EUI is superior to predict Chinese stock returns, with China's EUI leading, followed by its global and U.S. counterparts. Additionally, the EUI outperforms nine popular economic variables. Cumulative squared forecast error confirms China's effectiveness in prediction. Robustness checks are consistent with the empirical results presented.

Suggested Citation

  • Wang, Yubao & Huang, Xiaozhou & Huang, Zhendong, 2024. "Energy-related uncertainty and Chinese stock market returns," Finance Research Letters, Elsevier, vol. 62(PB).
    • Handle: RePEc:eee:finlet:v:62:y:2024:i:pb:s1544612324002459
    DOI: 10.1016/j.frl.2024.105215
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