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Author: Haibin Xie Publisher: ISBN: Category : Languages : en Pages : 26
Book Description
Japanese candlestick has been widely used in investment practice, however its predicting power has not yet been scrutinized in academic literature. This paper investigates the forecasting power of Japanese candlestick augumented by Halloween effect in stock returns. Empirical studies performed on the S&P500 stock index show that Japanese candlestick if augumented by Halloween effect can deliver signficant in- and out-of-sample forecasts in both statistical and economic sense. Moreover, we find that there is significant Halloween effect in the Japanese candlestick, and that Halloween effect in Japanese candlestick dominates Halloween effect in stock returns in stock return forecasting.
Author: Haibin Xie Publisher: ISBN: Category : Languages : en Pages : 26
Book Description
Japanese candlestick has been widely used in investment practice, however its predicting power has not yet been scrutinized in academic literature. This paper investigates the forecasting power of Japanese candlestick augumented by Halloween effect in stock returns. Empirical studies performed on the S&P500 stock index show that Japanese candlestick if augumented by Halloween effect can deliver signficant in- and out-of-sample forecasts in both statistical and economic sense. Moreover, we find that there is significant Halloween effect in the Japanese candlestick, and that Halloween effect in Japanese candlestick dominates Halloween effect in stock returns in stock return forecasting.
Author: Ben Jacobsen Publisher: ISBN: Category : Languages : en Pages : 38
Book Description
All US stock market sectors and industries perform better during winter than during summer in our sample from 1926-2005. In more than two-third of all sectors and industries this difference in summer and winter returns, known as the Halloween effect, is statistically significant and in half of all sectors and industries risk premia are negative during summer. However, while all sectors and industries show this effect, there are large differences across sectors and industries. The effect is almost absent in sectors related to consumer consumption but strong in production sectors. We illustrate how these differences between sectors might be used to improve the risk return trade off using sector rotation based on Fidelity sector funds and show how an investor might have benefited from such a trading strategy.
Author: Edwin D. Maberly Publisher: ISBN: Category : Languages : en Pages : 22
Book Description
Bouman and Jacobsen (2002) examine monthly stock returns for 37 world stock markets for the period January 1970-August 1998. They report that returns are significantly higher during the November-April periods versus the May-October periods in 36 of 37 markets examined and label this phenomenon the Halloween puzzle. These results conflict with those predicted by the efficient market paradigm. Using United States monthly return date, Maberly and Pierce (2004) report that, in terms of statistical significance, the Halloween puzzle is not robust to alternative model specifications. In particular, after adjusting for the October 1987 Crash and the August 1998 failure of Long-Term Capital Management, the Halloween puzzle becomes statistically insignificant at a meaningful level. Expanding on prior research, this paper examines the robustness of the Japanese Halloween puzzle to alternative model specifications and time periods. The data set is monthly Nikkei 225 index returns for the 1970 through 2003 period. The data set is divided into two sub-periods, 1970 through 1986 and 1987 through 2003, based on the internationalization of Japanese financial markets in the mid-1980s and the introduction of Nikkei 225 index futures in September 1986. For the entire period and for each sub-period, monthly returns are partitioned into bull market (positive return) years versus bear market (negative return) years. This classification reveals that the Halloween strategy underperforms the buy and hold strategy during bull market years, but outperforms the buy and hold strategy during bear market years. Thus, over any prolonged period of bull market years, the Halloween strategy fails miserably. The major finding of this study is that the Japanese Halloween puzzle is not robust to alternative model specifications or to the time period selected. Anecdotal evidence is presented suggesting that investment flows and trading volume in Japan display a November-April seasonal that might contribute to returns being numerically higher over the November-April periods. However, the numerically higher returns observed over the November-April periods are not economically exploitable nor are they a violation of the efficient market paradigm.
Author: Oleksiy Plastun Publisher: ISBN: Category : Languages : en Pages : 49
Book Description
In this paper, we conduct a comprehensive investigation of the Halloween effect evolution in the US stock market over its entire history. We employ various statistical techniques (average analysis, Student's t-test, ANOVA, and the Mann-Whitney test) and the trading simulation approach to analyse the evolution of the Halloween effect. The results suggest that in the US stock market the Halloween effect became more persistent since the middle of the 20th century. Despite the decline in its prevalence since that time, nowadays it is still present in the US stock market and provides opportunities to build a trading strategy which can beat the market. These results are well in line with other developed stock markets. Therefore, in the main, our results are inconsistent with the Efficient Market Hypothesis.
Author: Takato Hiraki Publisher: ISBN: Category : Languages : en Pages : 26
Book Description
This paper examines a unique data set consisting of Japanese equity returns for the Friday, Monday, and Tuesday surrounding U.S. Monday holiday closures. The objective is to neutralize the impact of spillover effects from New York to Tokyo. Prior studies find that Japanese returns are negative on Tuesday and anomalous; this phenomenon is known as the Japanese-Tuesday effect. One explanation for the Japanese-Tuesday effect is that there exists a cause and effect relationship with Monday returns in New York. Historically, Monday returns in New York are negative, a phenomenon known as the U.S.-Monday effect. The empirical results show that U.S. Monday closures have a significant impact on Japanese return dynamics for surrounding trading days. The empirical evidence does not support the hypothesis that the U.S.-Monday and Japanese-Tuesday effects are related. Potential explanations for the occurrence and then disappearance of the Japanese-Tuesday effect rely on microstructure properties unique to Tokyo. More recently, spillover effects from New York to Tokyo have increased in intensity, and this is attributed to the introduction of the Nikkei 225 index on the SIMEX.
Author: David G. McMillan Publisher: ISBN: Category : Languages : en Pages : 42
Book Description
We forecast quarterly US stock returns using eighteen predictor variables both individually and in multivariate regressions, with the former also used in forecast combinations. Using rolling and recursive approaches, we consider a range of statistical and economic evaluation measures. We consider linear and non-linear regressions as well as forecast evaluations over both market and economic regimes and calculated on a rolling and recursive basis. The results reveal that the term structure of interest rates consistently provides the preferred forecast performance, especially when evaluated using the Sharpe ratio. Additionally, the purchasing managers index consistently provides a strong forecast performance. A broad view over the full set of predictive variables tends to indicate that such models are unable to beat the historical mean model. However, nuances to these results reveals forecast success varies according to how the forecasts are evaluated and over time. The success of the term structure (and the purchasing managers index) reveals that investor (and firm) expectations of future economic performance provide valuable stock return forecasts and is consistent with asset pricing models that indicate movements in returns are conditioned by such expectations.
Author: Steve Nison Publisher: Penguin ISBN: 9780735201811 Category : Business & Economics Languages : en Pages : 334
Book Description
The ultimate guide to a critical tool for mastering the financial markets A longstanding form of technical analysis, Japanese candlestick charts are a dynamic and increasingly popular technical tool for traders of all skill levels. Known for its versatility, this ancient charting can be fused with every other technical tool available, including traditional Western technical analysis. Japanese Candlestick Charting Techniques is the most comprehensive and trusted guide to this essential technique. Informed by years of research from a pioneer trader, this book covers everything you need to know, including hundreds of examples that show how candlestick techniques can be used in all of today’s markets. This totally updated revision focuses on the needs of today’s traders and investors with: • All new charts including more intra-day markets • New candlestick charting techniques • More focus on active trading for swing, online and day traders • New Western techniques in combination with candles • A greater spotlight on capital preservation. From speculation and hedging to futures and equities, candlestick charting is the next level up for both amateur day traders and seasoned technicians, and this book provides expert guidance for putting it into action.
Author: Haibin Xie
Author: Haibin Xie
Author: Ben Jacobsen
Author: Edwin D. Maberly
Author: Oleksiy Plastun
Author: Mariko Fujii
Author: John Y. Campbell
Author: 
Author: Takato Hiraki
Author: David G. McMillan
Author: Steve Nison