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The Portuguese stock market cycle: Chronology and duration dependence

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  • Vitor Castro

Abstract

This paper tries to identify, for the first time, a chronology for the Portuguese stock market cycle and test for the presence of duration dependence in bull and bear markets. A duration-dependent Markov-switching model is estimated over monthly growth rates of the Portuguese stock index for the period January 1989 to April 2012. Six episodes of bull/bear markets are identified during that period, as well as the presence of positive duration dependence in bear but not in bull markets.

Suggested Citation

  • Vitor Castro, 2013. "The Portuguese stock market cycle: Chronology and duration dependence," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2013(1), pages 1-23.
  • Handle: RePEc:oec:stdkab:5k455rtzv69q
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    File URL: http://dx.doi.org/10.1787/jbcma-2013-5k455rtzv69q
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    References listed on IDEAS

    as
    1. Castro, Vítor, 2010. "The duration of economic expansions and recessions: More than duration dependence," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 347-365, March.
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    7. Lunde A. & Timmermann A., 2004. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 253-273, July.
    8. Zuehlke, Thomas W, 2003. "Business Cycle Duration Dependence Reconsidered," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 564-569, October.
    9. Sichel, Daniel E, 1991. "Business Cycle Duration Dependence: A Parametric Approach," The Review of Economics and Statistics, MIT Press, vol. 73(2), pages 254-260, May.
    10. Terence Tai-Leung Chong & Zimu Li & Haiqiang Chen & Melvin Hinich, 2010. "An investigation of duration dependence in the American stock market cycle," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(8), pages 1407-1416.
    11. Vitor Castro, 2011. "The Portuguese Business Cycle: Chronology and Duration Dependence," GEMF Working Papers 2011-07, GEMF, Faculty of Economics, University of Coimbra.
    12. Maheu, John M & McCurdy, Thomas H, 2000. "Identifying Bull and Bear Markets in Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 100-112, January.
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    15. Chang-Jin Kim & Charles R. Nelson, 1998. "Business Cycle Turning Points, A New Coincident Index, And Tests Of Duration Dependence Based On A Dynamic Factor Model With Regime Switching," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 188-201, May.
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    Cited by:

    1. Fernando Henrique De Paula E Silva Mendes & Guilherme Valle Mour, 2014. "Evidências De Bull E Bear Market No Índice Bovespa: Uma Aplicação De Modelos De Regime Markoviano E Duration Dependence," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 138, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].

    More about this item

    Keywords

    bull and bear markets; duration dependence; Markov-switching; Stock market cycles;

    JEL classification:

    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G19 - Financial Economics - - General Financial Markets - - - Other

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