Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/12129

TitleThe portuguese stock market cycle : chronology and duration dependence
Author(s)Castro, Vítor
KeywordsStock market cycles
Bull and bear markets
Duration dependence
Markov-switching
Issue date2011
PublisherUniversidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
Citation“NIPE Working Paper”. 13 (2011) 1-17.
Abstract(s)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.
TypeWorking paper
URIhttp://hdl.handle.net/1822/12129
Publisher versionhttp://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_13_2011.pdf
Peer-Reviewedno
AccessOpen access
Appears in Collections:NIPE - Documentos de Trabalho

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