The portuguese stock market cycle : chronology and duration dependence

• Autor(es): Castro, Vítor
• Data: 2011
• Identificador Persistente: http://hdl.handle.net/1822/12129
• Origem: RepositóriUM - Universidade do Minho
• Assunto(s): Stock market cycles; Bull and bear markets; Duration dependence; Markov-switching
• Tipo de Documento: Research paper
• Idioma: Inglês

Descrição

This paper tries to identify, for the first time, a chronology for the Portuguese stock market cycle and test for the presence of duration dependence in bull and bear markets. A duration dependent Markov-switching model is estimated over monthly growth rates of the Portuguese Stock Index for the period 1989-2010. Six episodes of bull/bear markets are identified during that period, as well as the presence of positive duration dependence in bear but not in bull markets.