用彩票指数预测股市收益：来自中国的证据

IF 3.4 3区经济学 Q1 ECONOMICS

Journal of Forecasting Pub Date : 2024-02-25 DOI:10.1002/for.3100

Yaojie Zhang, Qingxiang Han, Mengxi He

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引用次数: 0

摘要

本研究采用偏最小二乘法，基于六个流行的彩票偏好变量构建了中国彩票指数（LI），并研究了 2000 年 1 月至 2021 年 12 月期间中国彩票指数与未来股市收益率之间的关系。我们发现，中国彩票可以负向预测样本内和样本外的股市超额收益。此外，LI 还能为均值方差投资者带来巨大的经济收益。最后，LI 的预测来源于现金流渠道，并可通过正向的交易量-波动率关系和投资者关注度来解释。

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Forecasting stock market returns with a lottery index: Evidence from China

This study constructs a Chinese lottery index (LI) based on six popular lottery preference variables by using the partial least squares method and examines the relationship between the LI and future stock market returns during the period from January 2000 to December 2021. We find that the LI can negatively predict stock market excess returns in-sample and out-of-sample. In addition, the LI can generate a large economic gain for a mean–variance investor. Finally, the predictive sources of the LI stem from a cash flow channel and can be explained by the positive volume–volatility relationship and investor attention.

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来源期刊

Journal of Forecasting Multiple-

CiteScore

5.40

自引率

5.90%

发文量

期刊介绍： The Journal of Forecasting is an international journal that publishes refereed papers on forecasting. It is multidisciplinary, welcoming papers dealing with any aspect of forecasting: theoretical, practical, computational and methodological. A broad interpretation of the topic is taken with approaches from various subject areas, such as statistics, economics, psychology, systems engineering and social sciences, all encouraged. Furthermore, the Journal welcomes a wide diversity of applications in such fields as business, government, technology and the environment. Of particular interest are papers dealing with modelling issues and the relationship of forecasting systems to decision-making processes.