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GEMF

Grupo de Estudos Monetários e Financeiros

Estudos do GEMF, N.º 17 de 2011

   

The Portuguese Stock Market Cycle: Chronology and Duration Dependence


Vitor Castro
Universidade de Coimbra e 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.

JEL Classification: E32, G19, C41, C24.

Keywords:
stock market cycles; bull and bear markets; duration dependence; Markov-switching.

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