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An investigation of duration dependence in the American stock market cycle

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Author Info

  • Terence Tai-Leung Chong
  • Zimu Li
  • Haiqiang Chen
  • Melvin Hinich

Abstract

This paper investigates the duration dependence of the US stock market cycles. A new classification method for bull and bear market regimes based on the crossing of the market index and its moving average is proposed. We show evidence of duration dependence in whole cycles. The half cycles, however, are found to be duration independent. More importantly, we find that the degree of duration dependence of the US stock market cycles has dropped after the launch of the NASDAQ index.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/02664760903039875
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Journal of Applied Statistics.

Volume (Year): 37 (2010)
Issue (Month): 8 ()
Pages: 1407-1416

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Handle: RePEc:taf:japsta:v:37:y:2010:i:8:p:1407-1416

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Related research

Keywords: duration dependence; stock market cycles; moving average;

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Cited by:
  1. VĂ­tor Castro, 2011. "The Portuguese Stock Market Cycle: Chronology and Duration Dependence," NIPE Working Papers 13/2011, NIPE - Universidade do Minho.
  2. Li, Ziran & Sun, Jiajing & Wang, Shouyang, 2013. "Amplitude-Duration-Persistence Trade-off Relationship for Long Term Bear Stock Markets," MPRA Paper 54177, University Library of Munich, Germany.

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