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

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

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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File URL: http://www.sciencedirect.com/science/article/pii/S0275-5319(09)00039-7
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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
Contact details of provider: Web page: http://www.elsevier.com/locate/ribaf

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