Advanced Search
MyIDEAS: Login to save this article or follow this journal

Asymmetric Stationarity in National Stock Market Indices: An MTAR Analysis

Contents:

Author Info

  • James K. Self

    (Indiana University–Bloomington)

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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.journals.uchicago.edu/cgi-bin/resolve?JB790518
File Function: main text
Download Restriction: Access to the online full text or PDF requires a subscription.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by University of Chicago Press in its journal Journal of Business.

Volume (Year): 79 (2006)
Issue (Month): 6 (November)
Pages: 3153-3174

as in new window
Handle: RePEc:ucp:jnlbus:v:79:y:2006:i:6:p:3153-3174

Contact details of provider:
Web page: http://www.journals.uchicago.edu/JB/

Related research

Keywords:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994. " Contrarian Investment, Extrapolation, and Risk," Journal of Finance, American Finance Association, American Finance Association, vol. 49(5), pages 1541-78, December.
  2. Paul Weller & Christopher Neely, 1999. "Intraday Technical Trading in the Foreign Exchange Market," Working Papers, Warwick Business School, Finance Group wp99-02, Warwick Business School, Finance Group.
  3. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
  4. Dittmar, Robert & Neely, Christopher J & Weller, Paul, 1996. "Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1480, C.E.P.R. Discussion Papers.
  5. Mehmet Caner & Bruce E. Hansen, 2001. "Threshold Autoregression with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 69(6), pages 1555-1596, November.
  6. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, Econometric Society, vol. 64(2), pages 413-30, March.
  7. Griffin, John M. & Andrew Karolyi, G., 1998. "Another look at the role of the industrial structure of markets for international diversification strategies," Journal of Financial Economics, Elsevier, Elsevier, vol. 50(3), pages 351-373, December.
  8. Degeorge, Francois & Patel, Jayendu & Zeckhauser, Richard, 1999. "Earnings Management to Exceed Thresholds," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 72(1), pages 1-33, January.
  9. Kothari, S. P. & Sloan, Richard G., 1992. "Information in prices about future earnings : Implications for earnings response coefficients," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 15(2-3), pages 143-171, August.
  10. Robert J. Shiller, 2002. "From Efficient Market Theory to Behavioral Finance," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1385, Cowles Foundation for Research in Economics, Yale University.
  11. Dechow, Patricia M., 1994. "Accounting earnings and cash flows as measures of firm performance : The role of accounting accruals," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 18(1), pages 3-42, July.
  12. Glaser, Markus & Nöth, Markus & Weber, Martin, 2003. "Behavioral Finance," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim 03-14, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  13. Paul M. Healy & Krishna G. Palepu, 2003. "The Fall of Enron," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 17(2), pages 3-26, Spring.
  14. Loughran, Tim & Ritter, Jay R, 1995. " The New Issues Puzzle," Journal of Finance, American Finance Association, American Finance Association, vol. 50(1), pages 23-51, March.
  15. Lee, Chun I. & Mathur, Ike, 1996. "Trading rule profits in european currency spot cross-rates," Journal of Banking & Finance, Elsevier, Elsevier, vol. 20(5), pages 949-962, June.
  16. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies. 111, Princeton University, Department of Economics, Center for Economic Policy Studies..
  17. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 17(1), pages 59-82, Winter.
  18. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, American Finance Association, vol. 25(2), pages 383-417, May.
  19. Szakmary, Andrew C. & Mathur, Ike, 1997. "Central bank intervention and trading rule profits in foreign exchange markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 16(4), pages 513-535, August.
  20. Gaver, Jennifer J. & Gaver, Kenneth M. & Austin, Jeffrey R., 1995. "Additional evidence on bonus plans and income management," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 19(1), pages 3-28, February.
  21. Baruch Lev, 2003. "Corporate Earnings: Facts and Fiction," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 17(2), pages 27-50, Spring.
  22. Burgstahler, David & Dichev, Ilia, 1997. "Earnings management to avoid earnings decreases and losses," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 24(1), pages 99-126, December.
  23. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, American Finance Association, vol. 48(1), pages 65-91, March.
  24. Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers, Wisconsin Madison - Social Systems 90-22, Wisconsin Madison - Social Systems.
  25. Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.
  26. Leuz, Christian & Nanda, Dhananjay & Wysocki, Peter D., 2003. "Earnings management and investor protection: an international comparison," Journal of Financial Economics, Elsevier, Elsevier, vol. 69(3), pages 505-527, September.
  27. Kaplan, Robert S., 1985. "Evidence on the effect of bonus schemes on accounting procedure and accrual decisions," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 7(1-3), pages 109-113, April.
  28. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, Elsevier, vol. 1(1), pages 83-106, June.
  29. Healy, Paul M., 1985. "The effect of bonus schemes on accounting decisions," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 7(1-3), pages 85-107, April.
  30. Joel S. Demski, 2003. "Corporate Conflicts of Interest," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 17(2), pages 51-72, Spring.
  31. Easton, Peter D. & Harris, Trevor S. & Ohlson, James A., 1992. "Aggregate accounting earnings can explain most of security returns : The case of long return intervals," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 15(2-3), pages 119-142, August.
  32. Shin, Dong Wan & Lee, Oesook, 2001. "Tests for Asymmetry in Possibly Nonstationary Time Series Data," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 19(2), pages 233-44, April.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Kwang-il Choe & Joshua Krausz & Kiseok Nam, 2011. "Technical trading rules for nonlinear dynamics of stock returns: evidence from the G-7 stock markets," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 36(3), pages 323-353, April.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ucp:jnlbus:v:79:y:2006:i:6:p:3153-3174. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Journals Division).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.