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

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

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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