{"id":"https://openalex.org/W2083762034","doi":"https://doi.org/10.1086/505252","title":"Asymmetric Stationarity in National Stock Market Indices: An MTAR Analysis*","display_name":"Asymmetric Stationarity in National Stock Market Indices: An MTAR Analysis*","publication_year":2006,"publication_date":"2006-11-01","ids":{"openalex":"https://openalex.org/W2083762034","doi":"https://doi.org/10.1086/505252","mag":"2083762034"},"language":"en","primary_location":{"id":"doi:10.1086/505252","doi":"https://doi.org/10.1086/505252","is_oa":false,"landing_page_url":"https://doi.org/10.1086/505252","pdf_url":null,"source":{"id":"https://openalex.org/S64223753","display_name":"The Journal of Business","issn_l":"0021-9398","issn":["0021-9398","1537-5374"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core"],"host_organization":"https://openalex.org/P4310315672","host_organization_name":"University of Chicago Press","host_organization_lineage":["https://openalex.org/P4310315672","https://openalex.org/P4310315690"],"host_organization_lineage_names":["University of Chicago Press","University of Chicago"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Business","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5000304964","display_name":"James K. Self","orcid":"https://orcid.org/0000-0002-5229-005X","observed_orcids":["https://orcid.org/0000-0002-5229-005X"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"James\u00a0K. Self","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5059812975","display_name":"Ike Mathur","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I110378019","display_name":"Southern Illinois University Carbondale","ror":"https://ror.org/049kefs16","country_code":"US","type":"education","lineage":["https://openalex.org/I110378019","https://openalex.org/I2801502357"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Ike Mathur","raw_affiliation_strings":["Southern Illinois University, Carbondale#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Southern Illinois University, Carbondale#TAB#","institution_ids":["https://openalex.org/I110378019"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":2.1528,"has_fulltext":false,"cited_by_count":22,"citation_normalized_percentile":{"value":0.90423326,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":96},"biblio":{"volume":"79","issue":"6","first_page":"3153","last_page":"3174"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9945999979972839,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9945999979972839,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.0035000001080334187,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0013000000035390258,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/momentum-threshold-autoregressive-model","display_name":"momentum threshold autoregressive model","score":0.968999981880188},{"id":"https://openalex.org/keywords/stock-market-indices","display_name":"stock market indices","score":0.8730000257492065},{"id":"https://openalex.org/keywords/technical-trading","display_name":"technical trading","score":0.7900000214576721},{"id":"https://openalex.org/keywords/nonstationarity","display_name":"non-stationarity","score":0.6480000019073486},{"id":"https://openalex.org/keywords/momentum-trading","display_name":"momentum trading","score":0.3140000104904175}],"concepts":[{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6058261394500732},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.5879188179969788},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5640860199928284},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.48859888315200806},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.08230599761009216},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1086/505252","doi":"https://doi.org/10.1086/505252","is_oa":false,"landing_page_url":"https://doi.org/10.1086/505252","pdf_url":null,"source":{"id":"https://openalex.org/S64223753","display_name":"The Journal of Business","issn_l":"0021-9398","issn":["0021-9398","1537-5374"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core"],"host_organization":"https://openalex.org/P4310315672","host_organization_name":"University of Chicago Press","host_organization_lineage":["https://openalex.org/P4310315672","https://openalex.org/P4310315690"],"host_organization_lineage_names":["University of Chicago Press","University of Chicago"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Business","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":38,"referenced_works":["https://openalex.org/W1535689967","https://openalex.org/W1536078490","https://openalex.org/W1538137979","https://openalex.org/W1604565168","https://openalex.org/W1967872601","https://openalex.org/W1971763123","https://openalex.org/W1975994995","https://openalex.org/W1985845508","https://openalex.org/W2003392290","https://openalex.org/W2016028951","https://openalex.org/W2017059355","https://openalex.org/W2034308725","https://openalex.org/W2062672445","https://openalex.org/W2066145212","https://openalex.org/W2067171170","https://openalex.org/W2068138154","https://openalex.org/W2090650059","https://openalex.org/W2094477220","https://openalex.org/W2097580026","https://openalex.org/W2099449634","https://openalex.org/W2100084310","https://openalex.org/W2101544483","https://openalex.org/W2103010701","https://openalex.org/W2104955455","https://openalex.org/W2118854883","https://openalex.org/W2121490355","https://openalex.org/W2125520394","https://openalex.org/W2126579422","https://openalex.org/W2130361803","https://openalex.org/W2131773668","https://openalex.org/W2138293190","https://openalex.org/W2148402268","https://openalex.org/W2170694901","https://openalex.org/W2975308768","https://openalex.org/W3122380305","https://openalex.org/W3122489987","https://openalex.org/W3124322429","https://openalex.org/W3125575246"],"related_works":["https://openalex.org/W2589160946","https://openalex.org/W2058070530","https://openalex.org/W2061049290","https://openalex.org/W2056659146","https://openalex.org/W2042367367","https://openalex.org/W2007525612","https://openalex.org/W2148910263","https://openalex.org/W153328318","https://openalex.org/W2790428786","https://openalex.org/W2141644911"],"abstract_inverted_index":{"A":[0],"procedure":[1,93],"is":[2,29,94],"developed":[3],"using":[4,74],"a":[5,75,97],"momentum":[6],"threshold":[7],"autoregressive":[8],"model":[9],"and":[10,28,82],"asymmetric":[11,19,42],"stationarity":[12],"tests":[13],"designed":[14],"to":[15,31],"identify":[16],"periods":[17,44],"of":[18,41,47,61],"stationary":[20,43],"divergences":[21],"from":[22,91],"nonstationary":[23],"paths":[24],"in":[25,45],"time":[26,66],"series":[27],"applied":[30],"major":[32],"national":[33],"stock":[34],"indices.":[35,49],"The":[36],"results":[37,51,60,86],"reveal":[38],"the":[39,56,92],"existence":[40],"each":[46],"these":[48],"These":[50],"suggest":[52],"an":[53],"explanation":[54],"for":[55,64],"counterintuitive":[57],"positive":[58],"forecasting":[59],"technical":[62,79],"traders":[63],"various":[65],"periods.":[67],"We":[68],"explore":[69],"this":[70],"possibility":[71],"further":[72],"by":[73],"representative":[76],"moving":[77],"average":[78],"trading":[80,98],"strategy":[81],"find":[83],"significantly":[84],"different":[85],"(higher":[87],"returns)":[88],"when":[89],"information":[90],"incorporated":[95],"into":[96],"rule.":[99]},"counts_by_year":[{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}