Revisiting the bull and bear markets notions in the Tunisian stock market: New evidence from multi-state duration-dependence Markov-switching models

Azza Bejaoui and Adel Karaa

Economic Modelling, 2016, vol. 59, issue C, 529-545

Abstract: This paper attempts to better apprehend the bull and bear markets notions by extending the Markov-switching model of Maheu and McCurdy (2000) for the multi-state case. By accounting for the duration dependence in conditional mean return, volatility, risk-return trade-off and transition probabilities, our four-state model with regimes characterized as boom, crash, bull and bear states enables us to define the bull and bear markets according the trend-based schemes. Finally, we establish a market state indicator which can detect the market cycle's inflexions and highlights the deterioration of the market conditions during the post-revolution period.

Keywords: Duration dependence; Pro-and countercyclical volatility; Coincident indicator; Emerging markets; Markov-switching models (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:59:y:2016:i:c:p:529-545

DOI: 10.1016/j.econmod.2016.08.018

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