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
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1787/jbcma-2013-5k455rtzv69q (text/html)
Full text available to READ online. PDF download available to OECD iLibrary subscribers.

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)
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:oec:stdkab:5k455rtzv69q

Access Statistics for this article

More articles in OECD Journal: Journal of Business Cycle Measurement and Analysis from OECD Publishing, Centre for International Research on Economic Tendency Surveys Contact information at EDIRC.
Bibliographic data for series maintained by (repec@oecd.org).