Asymmetric Stationarity in National Stock Market Indices: An MTAR Analysis

James Self ()

The Journal of Business, 2006, vol. 79, issue 6, 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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://dx.doi.org/10.1086/505252 main text (application/pdf)
Access to the online full text or PDF requires a subscription.

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

Access Statistics for this article

More articles in The Journal of Business from University of Chicago Press
Bibliographic data for series maintained by Journals Division ().