Testing for Exceptional Bulls and Bears: a Non-Parametric Perspective
AbstractThis paper investigates exceptional phases of stock market cycles. Defined in Pagan and Sossounov (2003) as unusual, they are detected as outliers in the historical distribution. Moreover, this study completes the growing literature on stock market bulls and bears in several aspects. First,it extends the description of financial cy- cles by going beyond solely the duration feature. Second, a new strategy to test for single and multiple outliers is presented. Based on this procedure, the exceptional bulls and bears that occurred since 1973 are detected. A complementary analysis deals with the specific cross-country patterns of the current sub-prime crisis. Our results are mixed, in the sense that they do not support the idea that the ongoing bear is exceptional for all the analyzed countries. Moreover, the results indicate that the stock market indices are still far away from the thresholds beyond which the current bear phase will become exceptional worldwide.
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Bibliographic InfoPaper provided by Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization in its series Research Memoranda with number 017.
Date of creation: 2009
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monetary economics ;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-04-18 (All new papers)
- NEP-CBE-2009-04-18 (Cognitive & Behavioural Economics)
- NEP-CDM-2009-04-18 (Collective Decision-Making)
- NEP-EVO-2009-04-18 (Evolutionary Economics)
- NEP-HPE-2009-04-18 (History & Philosophy of Economics)
- NEP-POL-2009-04-18 (Positive Political Economics)
- NEP-UPT-2009-04-18 (Utility Models & Prospect Theory)
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