The portuguese stock market cycle : chronology and duration dependence

Detalhes bibliográficos
Autor(a) principal: Castro, Vítor
Data de Publicação: 2011
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/1822/12129
Resumo: 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.
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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:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-21T11:59:11Zoai:repositorium.sdum.uminho.pt:1822/12129Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:48:56.212362Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
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:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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