| IS TECHNICAL ANALYSIS INFORMATIVE IN UK STOCK MARKET？ EVIDENCE FROM DECOMPOSITION-BASED VECTOR AUTOREGRESSIVE （DVAR） MODEL |
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| 作者姓名： | XIE Haibin BIAN Jiangze WANG Mingxi QIAO Han |
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| 作者单位： | [1]Research Center of Applied Finance, University of International Business and Economics, Beijing 100029, [2]School of Banking and Finance, University of International Business and Economics, Beijing 100029, China. [3]School of International Trade and Economics, University of International Business and Economics, Beijing100029, China. [4]School Management, China University of Mining and Technology, Beijing 100083, China. |
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| 基金项目： | This research is supported by Social Science Foundation of Ministry of Education of China under Grant No. 12YJC790001, National Social Science Foundation of China under Grant No. 12CJYllT, the National Natural Science Foundation of China under Grant Nos. 71003057 and 71373262, and the Program for Innovative Research Team and ＂211＂ Program in UIBE. |
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| 摘 要： | The paper proposes a new approach -- The decomposition-based vector autoregressive （DVAR） model to scrutinize the predictability of the UK stock market. Empirical studies performed on the monthly British FTSE100 index over 1984-2012 confirm that the DVAR model does provide informative forecasts for both in-sample and out-of-sample forecasts. Trading strategies based on the DVAR forecasts can Significantly beat the simple buy-and-hold, which demonstrates the valuable information provided by technical analysis in the UK stock market.
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| 关 键 词： | 向量自回归 技术分析 英国 股市 信息 分解 VAR模型 可预测性 |
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