基于英国股票市场工业板块技术分析的股票价格预测

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2023-02-27 DOI:10.55927/ijabm.v2i1.2901

Md Aminur Rahman

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引用次数: 0

摘要

本研究旨在批判性和严谨地评估伦敦证券交易所不同行业技术分析的弱形式市场效率和预测能力。每周数据收集自富时全指数、富时350一般工业指数和四个不同行业的20家公司，时间为1997年至2017年。采用Bai-Perron多重断裂检验对平原数据期进行诊断，达到预测的目的。运用运行检验、方差比检验、Ljung-Box检验和adf -单位根检验，得出市场不是弱形式有效的，股票价格是可预测的。本研究扩展现有文献，考虑不同产业部门存在的弱形式无效率。通过应用ARIMA和GARCH(1,1)模型以及双指数和三指数平滑技术测试，研究结果不支持弱形式效率

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Forecasting Stock Prices on the Basis of Technical Analysis in the Industrial Sectors of the UK Stock Market

This study aims to evaluate, critically and rigorously the weak-form market efficiency and forecasting power of technical analysis in different industries in the London Stock Exchange. Weekly data were collected from the FTSE-all share index, FTSE-350 general industrial index and twenty companies of four different industries, for the period between 1997 and 2017. Bai-Perron’s multiple breaks test was applied to diagnose plain data period for the purpose of forecasting. The statistical inference was made from the application of the runs test, variance ratio tests, Ljung-Box’s test and ADF-unit root test that the market is not weak-form efficient and stock prices are predictable. This study extends the current literature by considering the existence of weak-form inefficiency in different industrial sectors. The findings do not support for weak-form efficiency over the periods tested from the application of the ARIMA and GARCH (1, 1) models and double and triple exponential smoothing techniques

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.