The macroeconomic attention index: Evidence from China

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.