An investigation of duration dependence in the American stock market cycle
AbstractThis 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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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Journal of Applied Statistics.
Volume (Year): 37 (2010)
Issue (Month): 8 ()
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- Vítor Castro, 2011.
"The Portuguese Stock Market Cycle: Chronology and Duration Dependence,"
NIPE Working Papers
13/2011, NIPE - Universidade do Minho.
- Vitor Castro, 2011. "The Portuguese Stock Market Cycle: Chronology and Duration Dependence," GEMF Working Papers 2011-17, GEMF - Faculdade de Economia, Universidade de Coimbra.
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