{"title":"Investor attention and the predictability of the volatility of <scp>CNY‐CNH</scp> spreads: Evidence from a <scp>GARCH‐MIDAS</scp> model","authors":"Xiaoping Li, Zhipeng Zhang, Junyu Pan, Jihong Duan","doi":"10.1111/acfi.13191","DOIUrl":null,"url":null,"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.","PeriodicalId":47973,"journal":{"name":"Accounting and Finance","volume":"23 4","pages":"0"},"PeriodicalIF":3.1000,"publicationDate":"2023-10-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Accounting and Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1111/acfi.13191","RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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.
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.
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