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The Portuguese Stock Market Cycle: Chronology and Duration Dependence

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  • Vítor Castro

    (Universidade de Coimbra and NIPE)

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 1989-2010. 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

  • Vítor Castro, 2011. "The Portuguese Stock Market Cycle: Chronology and Duration Dependence," NIPE Working Papers 13/2011, NIPE - Universidade do Minho.
    • Handle: RePEc:nip:nipewp:13/2011
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    File URL: http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_13_2011.pdf
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    References listed on IDEAS

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    8. 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.
    9. 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.
    10. Shyh-Wei Chen & Chung-Hua Shen, 2007. "Evidence of the duration-dependence from the stock markets in the Pacific Rim economies," Applied Economics, Taylor & Francis Journals, vol. 39(11), pages 1461-1474.
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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].

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    More about this item

    Keywords

    stock market cycles; bull and bear markets; duration dependence; Markov-switching.;
    All these keywords.

    JEL classification:

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

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