An investigation of duration dependence in the American stock market cycle
Terence Tai Leung Chong (),
Haiqiang Chen and
Journal of Applied Statistics, 2010, vol. 37, issue 8, 1407-1416
This paper investigates the duration dependence of the US stock market cycles. A new classification method for bull and bear market regimes based on the crossing of the market index and its moving average is proposed. We show evidence of duration dependence in whole cycles. The half cycles, however, are found to be duration independent. More importantly, we find that the degree of duration dependence of the US stock market cycles has dropped after the launch of the NASDAQ index.
Keywords: duration dependence; stock market cycles; moving average (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:japsta:v:37:y:2010:i:8:p:1407-1416
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