A Bipartite Graph Approach to U.S.-China Cross-Market Return Forecasting
“Our results reveal a pronounced directional asymmetry: U.S. previous-close-to-close returns contain substantial predictive information for Chinese intraday returns, whereas the reverse effect is limited.”
AssetEquities
StrategyMachine learning
GeographyUSChina
FrequencyIntraday
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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