IS TECHNICAL ANALYSIS INFORMATIVE IN UK STOCK MARKET? EVIDENCE FROM DECOMPOSITION-BASED VECTOR AUTOREGRESSIVE (DVAR) MODEL.pdfVIP

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IS TECHNICAL ANALYSIS INFORMATIVE IN UK STOCK MARKET? EVIDENCE FROM DECOMPOSITION-BASED VECTOR AUTOREGRESSIVE (DVAR) MODEL.pdf

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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