Abstract
This study mainly constructs Chinese macroeconomic attention indices (CMAI) based on the Shanghai composite index stock bar of Guba Eastmoney, and takes the Shanghai Stock Exchange Composite (SSEC) return as an example to test the predictive ability of this newly constructed index. The results show that the CMAI of GDP is the best predictor of SSEC return. In addition, the diffusion index extracted by three dimensionality reduction methods as well as five forecast combinations also perform well.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
