The Portuguese Stock Market Cycle: Chronology and Duration Dependence

Vitor Castro ()

No 13/2011, NIPE Working Papers from NIPE - Universidade do Minho

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.

Keywords: stock market cycles; bull and bear markets; duration dependence; Markov-switching. (search for similar items in EconPapers)
JEL-codes: E32 G19 C41 C24 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2011
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Working Paper: The Portuguese Stock Market Cycle: Chronology and Duration Dependence (2011)
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