Amplitude-Duration-Persistence Trade-off Relationship for Long Term Bear Stock Markets

Ziran Li, Jiajing Sun and Shouyang Wang

MPRA Paper from University Library of Munich, Germany

Abstract: We study the mechanism that controls the shape of the bear market through an information diffusion perspective, and establish a frontier of market decline, in terms of a trade-off between amplitude, duration and the rate of information diffusion. Empirical analysis using data from 15 stock markets confirms the existence of this trade-off relationship. An algorithm for generating the frontier using real data is proposed and applied in several market scenarios. The results suggest that the behaviour of international stock markets during the current US credit crunch is similar to that in previous bear markets in terms of the trivariate trade-off.

Keywords: We study the mechanism that controls the shape of the bear market through an information diffusion perspective; and establish a frontier of market decline; in terms of a trade-off between amplitude; duration and the rate of information diffusion. Empirical analysis using data from 15 stock markets confirms the existence of this trade-off relationship. An algorithm for generating the frontier using real data is proposed and applied in several market scenarios. The results suggest that the behaviour of international stock markets during the current US credit crunch is similar to that in previous bear markets in terms of the trivariate trade-off. (search for similar items in EconPapers)
JEL-codes: G0 G01 (search for similar items in EconPapers)
Date: 2013-07
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/54177/1/MPRA_paper_54177.pdf original version (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:pra:mprapa:54177

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().