The Portuguese stock market cycle: Chronology and duration dependence

Vitor Castro

OECD Journal: Journal of Business Cycle Measurement and Analysis, 2013, vol. 2013, issue 1, 1-23

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 January 1989 to April 2012. 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: bull and bear markets; duration dependence; Markov-switching; Stock market cycles (search for similar items in EconPapers)
JEL-codes: C24 C41 E32 G19 (search for similar items in EconPapers)
Date: 2013
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https://doi.org/10.1787/jbcma-2013-5k455rtzv69q (text/html)
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Related works:
Working Paper: The Portuguese Stock Market Cycle: Chronology and Duration Dependence (2011)
Working Paper: The Portuguese Stock Market Cycle: Chronology and Duration Dependence (2011)
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