The role of Japanese Candlestick in DVAR model

doi:10.1007/s11424-014-2201-2

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	The role of Japanese Candlestick in DVAR model
	Xie Haibin 1; Fan Kuikui 2; Wang Shouyang3
	2015-10-01
发表期刊	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN	1009-6124
卷号	28 期号:5 页码:1177-1193
摘要	The decomposition-based vector autoregressive model (DVAR) provides a new framework for scrutinizing the efficiency of technical analysis in forecasting stock returns. However, its relationships with other technical indicators still remain unknown. This paper investigates the relationships of DVAR model with the Japanese Candlestick indicators using simulations, theoretical explanations and empirical studies. The main finding of this paper is that both lower and upper shadows in Japanese Candlestick Granger contribute to the DVAR model explanation power, and thus, providing useful information for improving the DVAR forecasts. This finding makes sense as it means that the information contained in the lower and upper shadows should be used when modeling the stock returns with DVAR. Empirical studies performed on China SSEC stock index demonstrate that DVAR model with upper and lower shadows as exogenous variables does have informative and valuable out-of-sample forecasts.
关键词	Chinese stock market Japanese candlestick stock market forecast technical analysis
DOI	10.1007/s11424-014-2201-2
语种	英语
资助项目	National Natural Science Foundation of China[71401033]
WOS研究方向	Mathematics
WOS类目	Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000358602600012
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/20430
专题	系统科学研究所
通讯作者	Xie Haibin
作者单位	1.Univ Int Business & Econ, Res Ctr Appl Finance, Beijing 100029, Peoples R China 2.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Xie Haibin,Fan Kuikui,Wang Shouyang. The role of Japanese Candlestick in DVAR model[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2015,28(5):1177-1193.
APA	Xie Haibin,Fan Kuikui,&Wang Shouyang.(2015).The role of Japanese Candlestick in DVAR model.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,28(5),1177-1193.
MLA	Xie Haibin,et al."The role of Japanese Candlestick in DVAR model".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 28.5(2015):1177-1193.