A New Indicator for Describing Bull and Bear Markets

German Forero-Laverde

No 129, Working Papers from European Historical Economics Society (EHES)

Abstract: Abstract We present new short, medium, and long-run indicators to date and characterise expansions and contractions in financial and economic time series. These Bull-Bear Indicators (BBIs) measure the risk-adjusted excess return with respect to average, to different time horizons, expressed in standard deviations. We illustrate the benefits of this measure by describing the boom-bust cycle in the UK stock market between 1922 and 2015. We compare our results with those obtained from frequently used methodologies in the literature and find that our measures contain substantially more information than the usual binary sequences that describe expansions and contractions and allow for a more granular and nuanced description of time series.

Keywords: Boom-bust cycle; Bull and bear markets; Stock market; Time series analysis; Severity measures; Dating rules (search for similar items in EconPapers)
JEL-codes: C1 C43 E32 G01 G1 N14 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2018-04
New Economics Papers: this item is included in nep-fmk, nep-his and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.ehes.org/wp/EHES_129.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hes:wpaper:0129

Access Statistics for this paper

More papers in Working Papers from European Historical Economics Society (EHES) Contact information at EDIRC.
Bibliographic data for series maintained by Paul Sharp ().