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Categorial economic policy uncertainty indices or Twitter-based uncertainty indices? Evidence from Chinese stock market

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  • Lu, Xinjie
  • Lang, Qiaoqi

Abstract

This paper mainly investigates the performances of Chinese categorial economic policy uncertainty (EPU) indices and categorial Twitter-based uncertainty for predicting Chinese stock market volatility. Results show both types of uncertainty indices can predict Chinese stock market volatility, especially the categorial Twitter-based uncertainty indices, showing uncertainty indices constructed based on social media contain more valuable information than newspaper-oriented uncertainty indices. In addition, we highlight the predictive performances of the Least absolute shrinkage and selection operator (LASSO) model with regime switching for forecasting Chinese stock market volatility.

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  • Lu, Xinjie & Lang, Qiaoqi, 2023. "Categorial economic policy uncertainty indices or Twitter-based uncertainty indices? Evidence from Chinese stock market," Finance Research Letters, Elsevier, vol. 55(PB).
    • Handle: RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003082
    DOI: 10.1016/j.frl.2023.103936
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    References listed on IDEAS

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    Cited by:

    1. Li, Rong & Tang, Guangyuan & Hong, Chen & Li, Sufang & Li, Bingting & Xiang, Shujian, 2024. "A study on economic policy uncertainty, geopolitical risk and stock market spillovers in BRICS countries," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
    2. Wangfang Xu & Wenjia Rao & Longbao Wei & Qianqian Wang, 2023. "A Normalized Global Economic Policy Uncertainty Index from Unsupervised Machine Learning," Mathematics, MDPI, vol. 11(15), pages 1-10, July.
    3. Ma, Feng & Lyu, Zhichong & Li, Haibo, 2024. "Can ChatGPT predict Chinese equity premiums?," Finance Research Letters, Elsevier, vol. 65(C).

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