forecast Chinese stock market return
jhh19970724
Results_in_sampleregressionfinal.xlsxSheet1
Summary statistics
| Mean | Median | 1%perctile | 99%perctile | Std | Skewness | Kurtosis | Variance | Corr | ||||||
| LNTurnover | 19.2637239403 | 19.1382780687 | 17.7871023439 | 21.097392185 | 0.8775941794 | 0.336854372 | 2.14462357 | 0.770171544 | 0.8801610396 | This row is each predictor's correlation coefficient with CHZOMP(Shenzhen composite index monthly return) | ||||
| China_SIR | 2.0001869159 | 1.71 | 1.71 | 3.33 | 0.4971655153 | 1.936527395 | 5.334275161 | 0.24717355 | 0.9688935442 | |||||
| SMB | 0.003923514 | 0.001274 | -0.10326818 | 0.09971311 | 0.0439916992 | -0.047765599 | 2.983921552 | 0.00193527 | 0.1231144427 | |||||
| HML | 0.0063270935 | 0.006075 | -0.06946568 | 0.0634398 | 0.0248187395 | -0.514075966 | 5.319474902 | 0.00061597 | 0.0552141888 | |||||
| RMW | 0.0027926916 | 0.00057 | -0.10032459 | 0.11434631 | 0.0358350215 | 0.087351018 | 5.197787847 | 0.001284149 | 0.0934201608 | |||||
| CMA | 0.000528729 | -0.000948 | -0.06677985 | 0.0707489 | 0.0257369407 | 0.229529377 | 3.854894109 | 0.00066239 | 0.217473786 | |||||
| LNM0 | 9.9191426514 | 9.9073924186 | 9.4762030038 | 10.4703191068 | 0.281420164 | 0.147276873 | 1.841811028 | 0.079197309 | 0.9756575143 | |||||
| LNM1 | 11.3714650565 | 11.3921934102 | 10.7133448759 | 11.9915254101 | 0.3823117936 | -0.009523923 | 1.823755598 | 0.146162308 | 0.9986644601 | |||||
| LNM2 | 12.3785877009 | 12.3818205179 | 11.7131335817 | 13.0512485996 | 0.4069029408 | -0.015914545 | 1.783223917 | 0.165570003 | 0.9996901822 | |||||
| China_INFL | 2.1691588785 | 1.5 | -1.186 | 8.586 | 2.410214553 | 0.943015172 | 3.12605337 | 5.809134192 | 0.9618962183 | |||||
| China_EP | 0.2790655091 | 0.2675446821 | 0.234501999 | 0.3789636615 | 0.0371505819 | 0.754834676 | 2.642377048 | 0.001380166 | 0.9750315115 | |||||
| China_BM | 0.9133029801 | 0.9114836347 | 0.8536016353 | 0.9679820496 | 0.0332297469 | -0.024413367 | 1.919970148 | 0.001104216 | 0.9736589468 | |||||
| USA_Semtiment | 0.4902806542 | 0.36583 | 0.025251 | 1.5593435 | 0.3647112867 | 1.116598079 | 3.535776626 | 0.133014323 | 0.7524502108 | |||||
| SP500Ret | 0.0015063978 | 0.0083576057 | -0.1559216879 | 0.1014512471 | 0.0529238532 | -0.693528432 | 3.629774339 | 0.002800934 | 0.148284017 | |||||
| NASDQRet | 0.0011395799 | 0.0102663448 | -0.2407391998 | 0.1772661526 | 0.0817250434 | -0.7227334 | 4.08857773 | 0.006678983 | 0.0506172102 | |||||
| USA_LIR | 4.5722429907 | 4.52 | 2.9387 | 6.4744 | 0.6961827298 | 0.455970183 | 3.753094346 | 0.484670393 | 0.935917277 | |||||
| USA_INFL | 2.8981308411 | 3 | 0.67 | 5.486 | 1.0163736228 | 0.052486698 | 2.908500984 | 1.033015341 | 0.862777171 | |||||
| USA_BILL | 2.9539041364 | 2.7386363636 | 0.1237878788 | 6.1347190476 | 1.7303329437 | 0.287983383 | 1.706065137 | 2.994052096 | 0.9897160395 | |||||
| USA_EP | 335.5397196262 | 335.25 | 333 | 338.25 | 1.7817700855 | 0.002362186 | 1.644499287 | 3.174704638 | 0.9512288793 | |||||
| This part is the descriptive statistics about each predictor, includes mean, median,1%perctile, 99%perctile and standard error, Skewness, Kurtosis, Variance. | ||||||||||||||
Predictor correlations
| LNTurnover | China_SIR | SMB | HML | RMW | CMA | LNM0 | LNM1 | LNM2 | China_INFL | China_EP | China_BM | USA_Semtiment | SP500Ret | NASDQRet | USA_LIR | USA_INFL | USA_BILL | USA_EP | |
| LNTurnover | 1 | 0.4486363336 | 0.2053563045 | -0.1522397232 | -0.1540486007 | 0.1710586097 | 0.761703848 | 0.7492281396 | 0.7553389063 | 0.5621421819 | 0.3161687338 | 0.1458975048 | -0.4855255735 | 0.0491180396 | 0.0545101078 | -0.1184882436 | 0.2769564923 | 0.3049079939 | -0.5501588548 |
| China_SIR | 0.4486363336 | 1 | 0.0818229784 | -0.0041686373 | 0.001998712 | 0.0536985106 | 0.5131011655 | 0.4975673174 | 0.4841837991 | 0.7260245857 | 0.0830884098 | -0.2337075613 | -0.1832535044 | 0.0448871287 | 0.0215252755 | -0.1985620102 | 0.5300364252 | -0.0350228444 | -0.1209635698 |
| SMB | 0.2053563045 | 0.0818229784 | 1 | -0.1342653936 | -0.833870438 | 0.7442429342 | 0.0597015753 | 0.0222264645 | 0.0282411161 | 0.0224203316 | -0.0549885141 | -0.1445667872 | -0.0578724531 | -0.0844583519 | -0.038861103 | 0.0902103153 | 0.1335165529 | 0.1578183281 | -0.0770060026 |
| HML | -0.1522397232 | -0.0041686373 | -0.1342653936 | 1 | -0.0246998759 | 0.0842097404 | -0.1227715974 | -0.1209121837 | -0.1221346676 | -0.0232044739 | -0.0330341567 | -0.029645539 | 0.0595831439 | 0.1748245452 | 0.1488058222 | 0.0297699688 | -0.0119691976 | -0.0563912376 | 0.068208335 |
| RMW | -0.1540486007 | 0.001998712 | -0.833870438 | -0.0246998759 | 1 | -0.8651555925 | -0.0163449175 | 0.0314297121 | 0.0177801716 | 0.0886844809 | 0.0852285907 | 0.1193252537 | 0.002928938 | 0.0775046853 | 0.0695634837 | -0.1220948289 | -0.0615074181 | -0.1731744937 | 0.0645117741 |
| CMA | 0.1710586097 | 0.0536985106 | 0.7442429342 | 0.0842097404 | -0.8651555925 | 1 | -0.0269043817 | -0.0725266121 | -0.0620907781 | -0.0884030214 | -0.1657673958 | -0.2209811186 | -0.0219427896 | -0.0793369585 | -0.0830236778 | 0.2058044896 | 0.1144088209 | 0.2210677224 | -0.072451534 |
| LNM0 | 0.761703848 | 0.5131011655 | 0.0597015753 | -0.1227715974 | -0.0163449175 | -0.0269043817 | 1 | 0.9805770741 | 0.9783500606 | 0.7118395391 | 0.603883121 | 0.5134454554 | -0.4466709479 | 0.1062321143 | 0.1497119253 | -0.5781455153 | 0.2791178911 | -0.1182825222 | -0.4105451153 |
| LNM1 | 0.7492281396 | 0.4975673174 | 0.0222264645 | -0.1209121837 | 0.0314297121 | -0.0725266121 | 0.9805770741 | 1 | 0.9982013907 | 0.7246700906 | 0.627521604 | 0.5492249889 | -0.4567473807 | 0.1144323621 | 0.1534855342 | -0.6088456256 | 0.2651225236 | -0.1636052873 | -0.3854706462 |
| LNM2 | 0.7553389063 | 0.4841837991 | 0.0282411161 | -0.1221346676 | 0.0177801716 | -0.0620907781 | 0.9783500606 | 0.9982013907 | 1 | 0.7059775984 | 0.6456343363 | 0.5684775956 | -0.4656627182 | 0.1018549514 | 0.1500743682 | -0.5981141896 | 0.2691346768 | -0.1550761143 | -0.4052252339 |
| China_INFL | 0.5621421819 | 0.7260245857 | 0.0224203316 | -0.0232044739 | 0.0886844809 | -0.0884030214 | 0.7118395391 | 0.7246700906 | 0.7059775984 | 1 | 0.3022655597 | 0.0919935061 | -0.41975286 | 0.0917558612 | 0.0799513287 | -0.3836926372 | 0.4369993239 | -0.1412266383 | -0.157495854 |
| China_EP | 0.3161687338 | 0.0830884098 | -0.0549885141 | -0.0330341567 | 0.0852285907 | -0.1657673958 | 0.603883121 | 0.627521604 | 0.6456343363 | 0.3022655597 | 1 | 0.8712635477 | -0.5265740748 | -0.0073375771 | 0.0436858764 | -0.5018957581 | 0.2483860442 | -0.2486439331 | -0.4246450046 |
| China_BM | 0.1458975048 | -0.2337075613 | -0.1445667872 | -0.029645539 | 0.1193252537 | -0.2209811186 | 0.5134454554 | 0.5492249889 | 0.5684775956 | 0.0919935061 | 0.8712635477 | 1 | -0.3705209887 | 0.0152704279 | 0.0913004292 | -0.5547897027 | 0.042148338 | -0.3348135396 | -0.3054764262 |
| USA_Semtiment | -0.4855255735 | -0.1832535044 | -0.0578724531 | 0.0595831439 | 0.002928938 | -0.0219427896 | -0.4466709479 | -0.4567473807 | -0.4656627182 | -0.41975286 | -0.5265740748 | -0.3705209887 | 1 | 0.0905726192 | 0.0995498622 | -0.0352580372 | -0.3396606215 | -0.1856846972 | 0.5183446525 |
| SP500Ret | 0.0491180396 | 0.0448871287 | -0.0844583519 | 0.1748245452 | 0.0775046853 | -0.0793369585 | 0.1062321143 | 0.1144323621 | 0.1018549514 | 0.0917558612 | -0.0073375771 | 0.0152704279 | 0.0905726192 | 1 | 0.8163422575 | -0.1385735698 | -0.1626138058 | -0.1179101561 | 0.1276828493 |
| NASDQRet | 0.0545101078 | 0.0215252755 | -0.038861103 | 0.1488058222 | 0.0695634837 | -0.0830236778 | 0.1497119253 | 0.1534855342 | 0.1500743682 | 0.0799513287 | 0.0436858764 | 0.0913004292 | 0.0995498622 | 0.8163422575 | 1 | -0.1444154136 | -0.1549544034 | -0.1511179476 | 0.1122156014 |
| USA_LIR | -0.1184882436 | -0.1985620102 | 0.0902103153 | 0.0297699688 | -0.1220948289 | 0.2058044896 | -0.5781455153 | -0.6088456256 | -0.5981141896 | -0.3836926372 | -0.5018957581 | -0.5547897027 | -0.0352580372 | -0.1385735698 | -0.1444154136 | 1 | 0.1001077535 | 0.736360145 | -0.1791975141 |
| USA_INFL | 0.2769564923 | 0.5300364252 | 0.1335165529 | -0.0119691976 | -0.0615074181 | 0.1144088209 | 0.2791178911 | 0.2651225236 | 0.2691346768 | 0.4369993239 | 0.2483860442 | 0.042148338 | -0.3396606215 | -0.1626138058 | -0.1549544034 | 0.1001077535 | 1 | 0.3370791665 | -0.4805272941 |
| USA_BILL | 0.3049079939 | -0.0350228444 | 0.1578183281 | -0.0563912376 | -0.1731744937 | 0.2210677224 | -0.1182825222 | -0.1636052873 | -0.1550761143 | -0.1412266383 | -0.2486439331 | -0.3348135396 | -0.1856846972 | -0.1179101561 | -0.1511179476 | 0.736360145 | 0.3370791665 | 1 | -0.6467230444 |
| USA_EP | -0.5501588548 | -0.1209635698 | -0.0770060026 | 0.068208335 | 0.0645117741 | -0.072451534 | -0.4105451153 | -0.3854706462 | -0.4052252339 | -0.157495854 | -0.4246450046 | -0.3054764262 | 0.5183446525 | 0.1276828493 | 0.1122156014 | -0.1791975141 | -0.4805272941 | -0.6467230444 | 1 |
| This sheet is the correlation coefficient between each predictor. | |||||||||||||||||||
In-sample PR results
| Beta | t | bootstrap p value | R2 | ||||||||
| LNTurnover | 1.9363462225 | 1.7555327757 | 0.046 | 4.5128638482 | This sheet shows: Regression coefficient beta, t-statistic, bootstrap p-value for checking data mining for in-sample, and R square. The principal components is also a predicator, it is obtained by data dimension reduction after principal component analysis. | ||||||
| China_SIR | 2.511670445 | 3.2720314465 | 0.005 | 7.8214311456 | |||||||
| SMB | 0.1131915889 | 0.0841102283 | 0.47 | 0.015561146 | |||||||
| HML | 0.8700185878 | 0.8938133985 | 0.204 | 0.9025132736 | |||||||
| RMW | 0.5085933698 | 0.3781926955 | 0.368 | 0.3207885135 | |||||||
| CMA | 0.4619813146 | 0.3620361015 | 0.375 | 0.2654636945 | |||||||
| LNM0 | 0.7365311017 | 0.6768822035 | 0.27 | 0.6527108982 | |||||||
| LNM1 | 0.4365890385 | 0.4134667408 | 0.364 | 0.2305743377 | |||||||
| LNM2 | 0.4744033984 | 0.445749045 | 0.357 | 0.272212964 | |||||||
| China_INFL | 1.3855649312 | 1.5359249649 | 0.096 | 2.3842772122 | |||||||
| China_EP | 0.053898007 | 0.0617949958 | 0.457 | 0.0033854933 | |||||||
| China_BM | 0.8511340913 | 1.1975748272 | 0.119 | 0.8833594695 | |||||||
| USA_Semtiment | 0.4738044659 | 0.7114469573 | 0.264 | 0.2772879904 | |||||||
| SP500Ret | 0.1930767123 | 0.206670367 | 0.433 | 0.046316907 | |||||||
| NASDQRet | 0.4466623042 | 0.6008201676 | 0.286 | 0.2475289012 | |||||||
| USA_LIR | 1.8895800572 | 2.6862317379 | 0.003 | 4.0370115814 | |||||||
| USA_INFL | 1.9709154393 | 2.2419706418 | 0.013 | 4.4830453001 | |||||||
| USA_BILL | 2.8691807838 | 3.295732359 | 0 | 9.9621468111 | |||||||
| USA_EP | 2.0058624364 | 2.6731499756 | 0.004 | 5.003398949 | |||||||
| principal components | 0.0229448686 | 0.0226105294 | 0.512 |
