Bear, Bull, Sidewalk, and Crash: The Evolution of the US Stock Market Using Over a Century of Daily Data

Shixuan Wang, Rangan Gupta and Yue-Jun Zhang ()

Finance Research Letters, 2021, vol. 43, issue C

Abstract: In this paper, we employ a four-state hidden semi-Markov model, which outperforms a hidden Markov model, to identify market conditions of the US stock market over the daily period from 16th of February, 1885 to 4th of June, 2020. Our results indicate that the four hidden states represent bear-, bull-, sidewalk-, and crash-markets, which in turn appropriately capture the various major historical events during the period of study.

Keywords: Dow Jones Industrial Average; Hidden (semi-)Markov Models; Stock Returns; Market Conditions (search for similar items in EconPapers)
JEL-codes: C22 G10 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Working Paper: Bear, Bull, Sidewalk, and Crash: The Evolution of the US Stock Market Using Over a Century of Daily Data (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000799

DOI: 10.1016/j.frl.2021.101998

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