EconPapers    
Economics at your fingertips  
 

Asymmetric Stationarity in National Stock Market Indices: An MTAR Analysis

James K. Self
Additional contact information
James K. Self: Indiana University–Bloomington

Journal of Business, 2006, vol. 79, issue 6, pages 3153-3174

Abstract: A procedure is developed using a momentum threshold autoregressive model and asymmetric stationarity tests designed to identify periods of asymmetric stationary divergences from nonstationary paths in time series and is applied to major national stock indices. The results reveal the existence of asymmetric stationary periods in each of these indices. These results suggest an explanation for the counterintuitive positive forecasting results of technical traders for various time periods. We explore this possibility further by using a representative moving average technical trading strategy and find significantly different results (higher returns) when information from the procedure is incorporated into a trading rule.

Date: 2006

Downloads: (external link)
http://www.journals.uchicago.edu/cgi-bin/resolve?JB790518 main text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ucp:jnlbus:v:79:y:2006:i:6:p:3153-3174

Ordering information: This journal article can be ordered from
http://www.journals.uchicago.edu/JB/home.html

Access Statistics for this article

Journal of Business is edited by Albert Madansky

More articles in Journal of Business from University of Chicago Press
Address: The University of Chicago Press, Journals Division, P.O. Box 37005 Chicago, IL 60637
Series data maintained by Christopher F. Baum ().

 
Page updated 2009-11-24
Handle: RePEc:ucp:jnlbus:v:79:y:2006:i:6:p:3153-3174