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Mean reversion in stock market prices: New evidence based on bull and bear markets

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Author Info

  • Cunado, J.
  • Gil-Alana, L.A.
  • Gracia, Fernando Perez de

Abstract

In this paper we test whether mean reversion in stock market prices presents a different behavior in bull and bear markets. We date the US bull and bear periods using Bry and Boschan (1971) algorithm. We examine the order of integration in the S&P 500 stock market index covering a daily period from August 1929 to December 2006 in bull and bear phases. Our results indicate the existence of different episodes of mean reversion, which mainly correspond to bull market periods.

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Bibliographic Info

Article provided by Elsevier in its journal Research in International Business and Finance.

Volume (Year): 24 (2010)
Issue (Month): 2 (June)
Pages: 113-122

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Handle: RePEc:eee:riibaf:v:24:y:2010:i:2:p:113-122

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Web page: http://www.elsevier.com/locate/ribaf

Related research

Keywords: Mean reversion Bull market Bear market;

References

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Cited by:
  1. Siow-Hooi Tan & Mohammad Tariqul Islam Khan, 2010. "Long Memory Features in Return and Volatility of the Malaysian Stock Market," Economics Bulletin, AccessEcon, vol. 30(4), pages 3267-3281.
  2. Shue-Jen Wu & Wei-Ming Lee, 2012. "Predicting the U.S. bear stock market using the consumption-wealth ratio," Economics Bulletin, AccessEcon, vol. 32(4), pages 3174-3181.

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