The Portuguese Stock Market Cycle: Chronology and Duration Dependence
Universidade de Coimbra e NIPE
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.
JEL Classification: E32, G19, C41, C24.
Keywords: stock market cycles; bull and bear markets; duration dependence; Markov-switching.