The portuguese stock market cycle : chronology and duration dependence

Bibliographic Details
Main Author: Castro, Vítor
Publication Date: 2011
Format: Article
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/1822/12129
Summary: 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.
id RCAP_2694ba64a9fda8e6e1ec2b82a903e6b7
oai_identifier_str oai:repositorium.sdum.uminho.pt:1822/12129
network_acronym_str RCAP
network_name_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository_id_str https://opendoar.ac.uk/repository/7160
spelling The portuguese stock market cycle : chronology and duration dependenceStock market cyclesBull and bear marketsDuration dependenceMarkov-switchingThis 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.Fundação para a Ciência e a Tecnologia (FCT)Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)Universidade do MinhoCastro, Vítor20112011-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/12129eng“NIPE Working Paper”. 13 (2011) 1-17.http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_13_2011.pdfinfo:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2024-05-11T04:28:07Zoai:repositorium.sdum.uminho.pt:1822/12129Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T14:49:21.281281Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv The portuguese stock market cycle : chronology and duration dependence
title The portuguese stock market cycle : chronology and duration dependence
spellingShingle The portuguese stock market cycle : chronology and duration dependence
Castro, Vítor
Stock market cycles
Bull and bear markets
Duration dependence
Markov-switching
title_short The portuguese stock market cycle : chronology and duration dependence
title_full The portuguese stock market cycle : chronology and duration dependence
title_fullStr The portuguese stock market cycle : chronology and duration dependence
title_full_unstemmed The portuguese stock market cycle : chronology and duration dependence
title_sort The portuguese stock market cycle : chronology and duration dependence
author Castro, Vítor
author_facet Castro, Vítor
author_role author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Castro, Vítor
dc.subject.por.fl_str_mv Stock market cycles
Bull and bear markets
Duration dependence
Markov-switching
topic Stock market cycles
Bull and bear markets
Duration dependence
Markov-switching
description 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.
publishDate 2011
dc.date.none.fl_str_mv 2011
2011-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/1822/12129
url http://hdl.handle.net/1822/12129
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv “NIPE Working Paper”. 13 (2011) 1-17.
http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_13_2011.pdf
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
publisher.none.fl_str_mv Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
_version_ 1833594908952231936

Similar Items