The Portuguese Stock Market Cycle: Chronology and Duration Dependence

Vitor Castro

No 2011-17, GEMF Working Papers from GEMF, Faculty of Economics, University of Coimbra

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 1989-2010. 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: stock market cycles; bull and bear markets; duration dependence; Markov-switching. (search for similar items in EconPapers)
JEL-codes: C24 C41 E32 G19 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2011-09
New Economics Papers: this item is included in nep-ets and nep-mac
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: The Portuguese stock market cycle: Chronology and duration dependence (2013)
Working Paper: The Portuguese Stock Market Cycle: Chronology and Duration Dependence (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:gmf:wpaper:2011-17

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