Unexpected Information Demand and Volatility Clustering of Chinese Stock Returns: Evidence from Baidu Index

Unexpected Information Demand and Volatility Clustering of Chinese Stock Returns: Evidence from Baidu Index

Blog Article

This paper employs the Baidu Diecast Truck Index as the novel proxy for unexpected information demand and shows that this novel proxy can explain the volatility clustering of Chinese stock returns.Generally speaking, these findings suggest that investors in Glass Blunts China could take advantage of the Baidu Index to obtain information and then improve their investment decision.