Work

A Comprehensive Look at the Predictive Information in Japanese Candlestick

Year: 2012

Type: conference-paper

Abstract: This article takes a comprehensive look at the performance of Japanese Candlestick in forecasting equity returns. We find that Japanese Candlestick does provide predictive information in both in-sample (IS) and out-of-sample (OOS) forecasts; and there is significant information spillover from the U.S equity market to the other markets. The results obtained are instructive to traders and portfolio managersbut challenging to academic claims.

Source: Procedia Computer Science

DOI: 10.1016/j.procs.2012.04.132

Authors: Haibin Xie, Xiujuan Zhao, Shouyang Wang

Institutions: Chinese Academy of Sciences, Academy of Mathematics and Systems Science, Beijing University of Posts and Telecommunications

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

Funders: National Natural Science Foundation of China, Program for New Century Excellent Talents in University, Fundamental Research Funds for the Central Universities

Awards: G1704137926, 小宗投资性商品价格异动机制、预警及相关政策研究, 证券投资基金风险评价与业绩特征的预测研究