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

作　　者：XIE Haibin BIAN Jiangze WANG Mingxi QIAO Han 

机构地区：[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.

出　　处：《Journal of Systems Science & Complexity》2014年第1期144-156,共13页系统科学与复杂性学报（英文版）

基　　金：supported by Social Science Foundation of Ministry of Education of China under Grant No.12YJC790001;National Social Science Foundation of China under Grant No.12CJY117;the National Natural Science Foundation of China under Grant Nos.71003057 and 71373262;the Program for Innovative Research Team and“211”Program in UIBE

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.

关 键 词：DVAR stock market predictability technical analysis UK stock market. 

分 类 号：F831.51[经济管理—金融学] O212.1[理学—概率论与数理统计]