IS TECHNICAL ANALYSIS INFORMATIVE IN UK STOCK MARKET? EVIDENCE FROM DECOMPOSITION-BASED VECTOR AUTOREGRESSIVE (DVAR) MODEL.pdfVIP
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JSystSciComplex(2014)27:144—156
IS TECHNICAL ANA I SISINF0RM TIVE IN UK
SToCK M ARKET?EVIDENCE FR0M
DEC0M PoSITIoN.BASED VECT0R
AUTOREGRESSIVE (DVAR)MODEL
XIE Haibin ·BIAN Jiangze ·WANGM ingxi·QIAOHan
DOI:10.1007/s11424—014—3280—9
Received:14April2012/Revised:25April2013
⑥TheEditorialOfficeofJSSCSpringer-VerlagBerlinHeidelberg2014
Abstract The paperproposesa new approach -——Thedecomposition-based vectorautoregressive
(DVAR)modeltoscrutinizethepredictabilityoftheUKstockmarket.Empiricalstudiesperformed
onthemonthlyBritish FTSE100index over1984—2012 confirm thattheDVAR modeldoesprovide
informativeforecasts forboth in—sample and out—o~sample forecasts. Trading strategiesbased on
theDVAR forecastscansignificantlybeatthesimplebuy—and—hold,which demonstratesthevaluable
informationprovidedbytechnicalanalysisintheUK stockmarket.
Keywords DVAR,stockmarketpredictability,technicalanalysis,UK stockmraket.
1 Introduction
Thepredictabilityofstockmarketshasalwaysbeenafascinatingtopicinfinancialeconomics
andeconometrics.Bytheearly1970’saconsensushasemergedamongfinancialeconomiststhat
X IE Haibin
ResearchCenterofAppliedFinance。UniversityofInternationalBusinessandEconomics,Beijing100029
China.Email:hbxie@amss.ac.cn.
BIAN Jiangze
SchoolofBankingandFinance,Universityof InternationalBusinessandEconomics,Beijing100029,China.
W ANG M ingxi
SchoolofInternationalTradeandEconomics,Universityof InternationalBusinessandEconomics,Beijing
100029,China.
QIAOHan(correspondingauthor)
SchoolofManagement,ChinaUniversityofMiningandTechnology,Beijing100083,China.
Thisresearch issupportedbySocialScienceFoundation ofM inistryofEducation ofChinaunderGrantNo.
12YJC790001 NationalSocialScienceFoundation ofChinaunderGrantNO.12CJY117.theNationalNatural
ScienceFoundationofChinaunderGrantNosnandtheProgram forInnovativeResearch
Team and “211”Program inUIBE.
。ThispaperwasrecommendedforpublicationbyEditor 4ⅣGShouyang.
Springer
ISTEC
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