All market activities of stock market participants combine to affect stock market changes， making stock market volatility fraught with complexity and making accurate prediction of stock prices a challenge. Among these activities that affect stock market changes， financial disclosure is an attractive and potentially financially rewarding means of predicting stock indexe changes. In order to deal with the complex changes in the stock market， a method of stock index prediction was proposed that incorporates data from financial statements disclosed by corporates. Firstly， the stock index historical data and corporate financial statement data were preprocessed， and the main task is dimension reduction of the high-dimensional matrix generated from corporate financial statement data， and then the dual-channel Long Short-Term Memory （LSTM） network was used to forecast and research the normalized data. Experimental results on SSE 50 and CSI 300 Index datasets show that the prediction effect of the proposed method is better than that using only historical data of stock indexes.