Forecasting stock returns: the role of VIX-based upper and lower shadow of Japanese candlestick
Abstract This paper proposes a new predictor by calculating the difference between the Japanese candlestick’s upper and lower shadows (ULD) constructed from CBOE volatility index (VIX) data. ULD is a powerful predictor for future stock returns, and higher ULD leads to the subsequent decline of stock...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2025-01-01
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| Series: | Financial Innovation |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s40854-024-00682-8 |
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