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Revisiting the bull and bear markets notions in the Tunisian stock market: New evidence from multi-state duration-dependence Markov-switching models

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  • Bejaoui, Azza
  • Karaa, Adel

Abstract

This paper attempts to better apprehend the bull and bear markets notions by extending the Markov-switching model of Maheu and McCurdy (2000) for the multi-state case. By accounting for the duration dependence in conditional mean return, volatility, risk-return trade-off and transition probabilities, our four-state model with regimes characterized as boom, crash, bull and bear states enables us to define the bull and bear markets according the trend-based schemes. Finally, we establish a market state indicator which can detect the market cycle's inflexions and highlights the deterioration of the market conditions during the post-revolution period.

Suggested Citation

  • Bejaoui, Azza & Karaa, Adel, 2016. "Revisiting the bull and bear markets notions in the Tunisian stock market: New evidence from multi-state duration-dependence Markov-switching models," Economic Modelling, Elsevier, vol. 59(C), pages 529-545.
    • Handle: RePEc:eee:ecmode:v:59:y:2016:i:c:p:529-545
    DOI: 10.1016/j.econmod.2016.08.018
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    3. Mishelle Doorasamy & Prince Kwasi Sarpong, 2018. "Fractal Market Hypothesis and Markov Regime Switching Model: A Possible Synthesis and Integration," International Journal of Economics and Financial Issues, Econjournals, vol. 8(1), pages 93-100.

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