Forecast and Application of the Yield Rate of the CSI 300

Xiaoyu Wang

doi:10.6981/FEM.202412_5(12).0018

Authors

Xiaoyu Wang

DOI:

https://doi.org/10.6981/FEM.202412_5(12).0018

Keywords:

SCI300; EMV; TURN.

Abstract

This paper conducts an empirical study on the yield rate of the CSI 300 index from four perspectives of international capital market volatility, domestic macro economy and investor sentiment. The research results can help policy makers accurately grasp the impact of foreign macro and investor sentiment fluctuations on the stock market. In this paper, the CSI 300 index is selected as the research sample, and four predictive variables are selected after data processing by gradual regression method to obtain the US stock market volatility index (EMV) and turnover rate (TURN). Meanwhile, the stock time window (2006-2018) is divided into two parts: training period and forecast period for out-of-sample expansion prediction, and its economic benefits are determined by calculating CER; finally, the Shanghai 50 index and change data samples are tested until June 2019. School of Economics and Management.

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