The portuguese stock market cycle : chronology and duration dependence

dc.contributor.author	Castro, Vítor
dc.date.accessioned	2011-04-08T17:27:48Z
dc.date.available	2011-04-08T17:27:48Z
dc.date.issued	2011
dc.description.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.	por
dc.description.sponsorship	Fundação para a Ciência e a Tecnologia (FCT)	por
dc.identifier.citation	“NIPE Working Paper”. 13 (2011) 1-17.	por
dc.identifier.uri	https://hdl.handle.net/1822/12129
dc.language.iso	eng	por
dc.peerreviewed	no	por
dc.publisher	Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)	por
dc.relation.publisherversion	http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_13_2011.pdf	por
dc.rights	openAccess	por
dc.subject	Stock market cycles	por
dc.subject	Bull and bear markets	por
dc.subject	Duration dependence	por
dc.subject	Markov-switching	por
dc.title	The portuguese stock market cycle : chronology and duration dependence	por
dc.type	workingPaper	por
dspace.entity.type	Publication	en
oaire.citationEndPage	17	por
oaire.citationStartPage	1	por
oaire.citationTitle	NIPE - Working Papers	por
oaire.citationVolume	13	por
sdum.publicationstatus	published	por

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