Structural changes in the duration of bull markets and business cycle dynamics
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/23987 |
Resumo: | This paper tests for structural changes in the duration of bull regimes of adjusted market capitalization stock indexes comprehending 18 developed and emerging economies, using a novel approach introduced by Nicolau (2016); and investigates whether the structural changes detected in the bull markets' duration are connected to the business cycle. Interestingly, the results show that structural changes in the duration of bull market regimes seem to anticipate periods of economic recession. The results provide statistically significant evidence that decreases in bull markets duration do not occur independently from economic crises, as 13 out of the 18 markets considered in our sample verify such decreases at least 12 months prior to the occurrence of an economic crisis. Additionally, these structural changes seem to affect smaller companies first, and then the larger ones. The association between decreases in the bull market regimes' duration and economic crises is possibly a consequence of the financial markets' leading behavior over the economy, with these structural changes serving as proxies for decreasing confidence in the financial markets, which naturally affects economic stability. |
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Structural changes in the duration of bull markets and business cycle dynamicsHypothesis TestingTime - Series ModelsThis paper tests for structural changes in the duration of bull regimes of adjusted market capitalization stock indexes comprehending 18 developed and emerging economies, using a novel approach introduced by Nicolau (2016); and investigates whether the structural changes detected in the bull markets' duration are connected to the business cycle. Interestingly, the results show that structural changes in the duration of bull market regimes seem to anticipate periods of economic recession. The results provide statistically significant evidence that decreases in bull markets duration do not occur independently from economic crises, as 13 out of the 18 markets considered in our sample verify such decreases at least 12 months prior to the occurrence of an economic crisis. Additionally, these structural changes seem to affect smaller companies first, and then the larger ones. The association between decreases in the bull market regimes' duration and economic crises is possibly a consequence of the financial markets' leading behavior over the economy, with these structural changes serving as proxies for decreasing confidence in the financial markets, which naturally affects economic stability.Banco de PortugalRepositório da Universidade de LisboaNicolau, JoãoRodrigues, Paulo M. M.Cruz, João2022-04-01T20:48:36Z2018-062018-06-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/23987engCruz, João. João Nicolau e Paulo M. M. Rodrigues. 2018. “Structural changes in the duration of bull markets and business cycle dynamics” .Banco de Portugal. Economic and Research Department. Working Papers nº 14 | 2018.2182-0422info: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:RCAAP2023-03-06T14:53:37Zoai:www.repository.utl.pt:10400.5/23987Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:08:07.846622Repositório 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 |
Structural changes in the duration of bull markets and business cycle dynamics |
title |
Structural changes in the duration of bull markets and business cycle dynamics |
spellingShingle |
Structural changes in the duration of bull markets and business cycle dynamics Nicolau, João Hypothesis Testing Time - Series Models |
title_short |
Structural changes in the duration of bull markets and business cycle dynamics |
title_full |
Structural changes in the duration of bull markets and business cycle dynamics |
title_fullStr |
Structural changes in the duration of bull markets and business cycle dynamics |
title_full_unstemmed |
Structural changes in the duration of bull markets and business cycle dynamics |
title_sort |
Structural changes in the duration of bull markets and business cycle dynamics |
author |
Nicolau, João |
author_facet |
Nicolau, João Rodrigues, Paulo M. M. Cruz, João |
author_role |
author |
author2 |
Rodrigues, Paulo M. M. Cruz, João |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Nicolau, João Rodrigues, Paulo M. M. Cruz, João |
dc.subject.por.fl_str_mv |
Hypothesis Testing Time - Series Models |
topic |
Hypothesis Testing Time - Series Models |
description |
This paper tests for structural changes in the duration of bull regimes of adjusted market capitalization stock indexes comprehending 18 developed and emerging economies, using a novel approach introduced by Nicolau (2016); and investigates whether the structural changes detected in the bull markets' duration are connected to the business cycle. Interestingly, the results show that structural changes in the duration of bull market regimes seem to anticipate periods of economic recession. The results provide statistically significant evidence that decreases in bull markets duration do not occur independently from economic crises, as 13 out of the 18 markets considered in our sample verify such decreases at least 12 months prior to the occurrence of an economic crisis. Additionally, these structural changes seem to affect smaller companies first, and then the larger ones. The association between decreases in the bull market regimes' duration and economic crises is possibly a consequence of the financial markets' leading behavior over the economy, with these structural changes serving as proxies for decreasing confidence in the financial markets, which naturally affects economic stability. |
publishDate |
2018 |
dc.date.none.fl_str_mv |
2018-06 2018-06-01T00:00:00Z 2022-04-01T20:48:36Z |
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/10400.5/23987 |
url |
http://hdl.handle.net/10400.5/23987 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Cruz, João. João Nicolau e Paulo M. M. Rodrigues. 2018. “Structural changes in the duration of bull markets and business cycle dynamics” .Banco de Portugal. Economic and Research Department. Working Papers nº 14 | 2018. 2182-0422 |
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 |
Banco de Portugal |
publisher.none.fl_str_mv |
Banco de Portugal |
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 instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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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1799131175205208064 |