Does the singular value decomposition entropy have predictive power for stock market? — Evidence from the Shenzhen stock market

• The singular value decomposition entropy of Shenzhen stock market is studied on different scales.
• The predictive power of the entropy for index is affected by width of moving time windows.
• The predictive power of the entropy for index is also affected by structural break.
• The entropy has predictive power for Shenzhen component index after the reform of nontradable shares.

This paper analyzes the predictive ability of the singular value decomposition entropy for the Shenzhen Component Index based on different scales. It is found that, the predictive ability of the entropy for the index is affected by the width of moving time windows and the structural break in stock market. By moving time windows with one year, the predictive power of singular value decomposition entropy of Shenzhen stock market for its component index is found after the reform of non-tradable shares.