OECD Journal: Journal of Business Cycle Measurement and Analysis

Frequency
Semiannual
ISSN: 
1995-2899 (online)
ISSN: 
1995-2880 (print)
http://dx.doi.org/10.1787/19952899
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The Journal of Business Cycle Measurement and Analysis has been discontinued as of 24 June 2016. This journal was published jointly with CIRET from 2004 to 2015. For more information see www.ciret.org/jbcy.

Article
 

The Portuguese stock market cycle

Chronology and duration dependence You do not have access to this content

English
 
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Author(s):
Vitor Castro
19 July 2013
Pages:
23
Bibliographic information
No.:
4,
Volume:
2013,
Issue:
1
Pages:
1–23
http://dx.doi.org/10.1787/jbcma-2013-5k455rtzv69q

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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 January 1989 to April 2012. 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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