The portuguese stock market cycle : chronology and duration dependence
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 per...
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| Formato: | workingPaper |
| Idioma: | eng |
| Publicado em: |
2011
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| Texto completo: | http://hdl.handle.net/1822/12129 |
| País: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/12129 |
| Resumo: | 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. |
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