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Inferring private information from online news and searches: Correlation and prediction in Chinese stock market

Author

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  • Zhao, Ruwei

Abstract

In this paper, we employ the difference between Baidu News (information supply) and Baidu Index (information demand) as the novel proxy for private information. The empirical results show that online news and searches are positively correlated with stock performance indicators. While, private information displays negative correlation with turnover and volatility. Besides, online news and searches hold solid predictive power for indicators. By comparison, private information only demonstrates reliable predictability with volatility. All these findings have some implications for investors who are interested in investing in Chinese stock market.

Suggested Citation

  • Zhao, Ruwei, 2019. "Inferring private information from online news and searches: Correlation and prediction in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 528(C).
    • Handle: RePEc:eee:phsmap:v:528:y:2019:i:c:s0378437119308398
    DOI: 10.1016/j.physa.2019.121450
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    Citations

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    Cited by:

    1. Mirjalili, Seyed Hossein & Dehghan Khavari, Saeed & Iraji, Maryam, 2021. "The Asymmetric Impact of Weighting Economic and Political Events on the Fluctuations of Banking Group Index (Case of Tehran Stock Exchange)," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 16(3), pages 399-416.
    2. Fei Ma & Yujie Zhu & Kum Fai Yuen & Qipeng Sun & Haonan He & Xiaobo Xu & Zhen Shang & Yan Xu, 2022. "Exploring the Spatiotemporal Evolution and Sustainable Driving Factors of Information Flow Network: A Public Search Attention Perspective," IJERPH, MDPI, vol. 19(1), pages 1-25, January.
    3. Dehghan Khavari , Saeed & Mirjalili , Seyed Hossein & Iraji , Maryam, 2021. "The Asymmetric Impact of Weighting Economic and Political Events on the Fluctuations of Banking Group Index (Case of Tehran Stock Exchange)," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(3), pages 399-416, September.
    4. Afees A. Salisu & Ahamuefula E. Ogbonna & Tirimisiyu F. Oloko & Idris A. Adediran, 2021. "A New Index for Measuring Uncertainty Due to the COVID-19 Pandemic," Sustainability, MDPI, vol. 13(6), pages 1-18, March.
    5. Lin, Boqiang & Wei, Kai, 2024. "Does investor attitude toward carbon neutrality affect stock returns in China?," International Review of Financial Analysis, Elsevier, vol. 93(C).
    6. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and stock return: Evidence from US," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).

    More about this item

    Keywords

    Private information; Baidu news; Baidu index; Prediction; Chinese stock market;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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