Forecasting stock returns: the role of VIX-based upper and lower shadow of Japanese candlestick

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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Bibliographic Details
Main Authors: Zhifeng Dai, Haoyang Zhu, Xiaoming Chang, Fenghua Wen
Format: Article
Language:English
Published: SpringerOpen 2025-01-01
Series:Financial Innovation
Subjects:
Stock returns
The Japanese candlestick
CBOE volatility index fundamental predictors
Online Access:https://doi.org/10.1186/s40854-024-00682-8
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