Investor attention and the predictability of the volatility of CNY‐CNH spreads: Evidence from a GARCH‐MIDAS model

IF 3.1 4区管理学 Q2 BUSINESS, FINANCE

Accounting and Finance Pub Date : 2023-10-27 DOI:10.1111/acfi.13191

Xiaoping Li, Zhipeng Zhang, Junyu Pan, Jihong Duan

引用次数: 0

Abstract

Abstract Combining the four aspects of self‐, macro, environmental, and policy attention, using backward‐looking rolling regressions, we construct novel international and domestic investor‐attention indices using the search volume index from Google Trends together with Baidu Index to investigate how investor attention affects the CNY‐CNH spreads volatility. Moreover, comparing different GARCH‐MIDAS models and conventional GARCH‐type models is conducted concerning the out‐of‐sample volatility forecasting capability. Our results show that: (i) international and domestic investor attention has a positive impact; and (ii) the GARCH‐MIDAS models involving investor attention improve forecast accuracy. In particular, the model with domestic investor attention has an advantage in forecasting.

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投资者的关注和CNY - CNH价差波动的可预测性:来自GARCH - MIDAS模型的证据

摘要结合自我关注、宏观关注、环境关注和政策关注四个方面，使用回溯滚动回归，我们使用谷歌趋势的搜索量指数和百度指数构建了新的国际和国内投资者关注指数，以研究投资者关注如何影响CNY - CNH价差波动。此外，比较了不同的GARCH - MIDAS模型和传统的GARCH - type模型对样本外波动率的预测能力。我们的研究结果表明:(1)国际和国内投资者的关注具有正向影响;(ii)涉及投资者注意力的GARCH - MIDAS模型提高了预测的准确性。特别是，国内投资者关注的模型在预测方面具有优势。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounting and Finance BUSINESS, FINANCE-

CiteScore

5.10

自引率

7.70%

发文量

期刊介绍： Accounting & Finance enjoys an excellent reputation as an academic journal that publishes articles addressing significant research questions from a broad range of perspectives. The journal: • publishes significant contributions to the accounting, finance, business information systems and related disciplines • develops, tests, or advances accounting, finance and information systems theory, research and practice • publishes theoretical, empirical and experimental papers that significantly contribute to the disciplines of accounting and finance • publishes articles using a wide range of research methods including statistical analysis, analytical work, case studies, field research and historical analysis • applies economic, organizational and other theories to accounting and finance phenomena and publishes occasional special issues on themes such as on research methods in management accounting. Accounting & Finance is essential reading for academics, graduate students and all those interested in research in accounting and finance. The journal is also widely read by practitioners in accounting, corporate finance, investments, and merchant and investment banking.