Stock market cycles and stock market development in Spain

Biscarri, Javier GÃ3mez; Gracia, Fernando PÃ©rez de

doi:10.1007/s10108-003-0078-7

Cited by 17 publications

(5 citation statements)

References 44 publications

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“…Many empirical papers have studied stock market volatility during bull and bear periods. A number of authors have found that volatility is higher during bear markets than in bull periods, including Maheu and McCurdy (2000), Edwards et al (2003), Gomez-Biscarri and Perez de Gracia (2004), Jones et al (2004), Gonzalez et al (2005), Guidolin and Timmermann (2005), Nishina et al (2006), Tu (2006), etc. On the other hand, persistence is highly related with volatility.…”

Section: Introductionmentioning

confidence: 98%

On the persistence and volatility in European, American and Asian stocks bull and bear markets

Gil-Alana

Shittu

Yaya

2014

Journal of International Money and Finance

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In this paper we examine the statistical properties of several stock market indices in Europe, the US and Asia by means of determining the degree of dependence in both the level and the volatility of the processes. In the latter case, we use the squared returns as a proxy for the volatility. We also investigate the cyclical pattern observed in the data and in particular, if the degree of dependence changes depending on whether there is a bull or a bear period. We use fractional integration and GARCH specifications. The results indicate that the indices are all nonstationary I(1) processes with the squared returns displaying a degree of long memory behavior. With respect to the bull and bear periods, we do not observe a systematic pattern in terms of the degree of persistence though for some of the indices (FTSE, Dax, Hang Seng and STI) there is a higher degree of dependence in both the level and the volatility during the bull periods.

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Section: Introductionmentioning

confidence: 98%

On the persistence and volatility in European, American and Asian stocks bull and bear markets

Gil-Alana

Shittu

Yaya

2014

Journal of International Money and Finance

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“…The other group of researchers believes that for a period to be deemed a bull (bear) market, the stock market price should increase (decrease) over a substantial period of time. For instance, the stock market price should rise (fall) over a period of longer than 5 months to denote a distinct bull (bear) market phase (see Pagan and Sossounov 2003, Biscarri and de Gracia 2004, Gonzalez et al 2005, Kaminsky and Schmukler 2008. Since there is no unique definition of bull and bear markets, there is no single preferred method to identify the state of the stock market.…”

Section: Dating Of Bull and Bear Market Statesmentioning

confidence: 99%

Stock volatility predictability in bull and bear markets

Zakamulin

2020

Quantitative Finance

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The recent literature on stock return predictability suggests that it varies substantially across economic states, being strongest during bad economic times. In line with this evidence, we document that stock volatility predictability is also state dependent. In particular, in this paper, we use a large data set of high-frequency data on individual stocks and a few popular time-series volatility models to comprehensively examine how volatility forecastability varies across bull and bear states of the stock market. We find that the volatility forecast horizon is substantially longer when the market is in a bear state than when it is in a bull state. In addition, over all but the shortest horizons, the volatility forecast accuracy is higher when the market is in a bear state. This difference increases as the forecast horizon lengthens. Our study concludes that stock volatility predictability is strongest during bad economic times, proxied by bear market states.

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“…1. For example, Assoe (1998) investigates regime switching behaviour of nine emerging markets and finds that these emerging market returns and volatilities change significantly over time in response to government policies, productivity switches or capital market reforms. Biscarri and de Gracia (2004) identify the bull and bear phases of Spanish stock market and find that the process of financial development, such as capital market opening, financial liberalization or integration processes, affects the Spanish stock market behaviour significantly.…”

Section: Notesmentioning

confidence: 99%

Classifying Chinese bull and bear markets: indices and individual stocks

Chi

Brooks

Bissoondoyal‐Bheenick

et al. 2016

SEF

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Purpose This paper aims to investigate Chinese bull and bear markets. The Chinese stock market has experienced a long period of bear cycle from early 2000 until 2006, and then it fluctuated greatly until 2010. However, the cyclical behaviour of stock markets during this period is less well established. This paper aims to answer the question why the Chinese stock market experienced a long duration of bear market and what factors would have impacted this cyclical behaviour. Design/methodology/approach By comparing the intervals of bull and bear markets between stocks and indices based on a Markov switching model, this paper examines whether different industries or A- and B-share markets could lead to different stock market cyclical behaviour and whether firm size can determine the relationship between the firm stock cycles on the market cycles. Findings This paper finds a high degree of overlapping of bear cycles between stocks and indices and a high level of overlapping between the bear market and a fraction of stock with increasing stock prices. This leads to the conclusion that the stock performance and trading behaviour are widely diversified. Furthermore, the paper finds that the same industry may have different overlapping intervals of bull or bear cycles in the Shanghai and Shenzhen stock markets. Firms with different sizes could have different overlapping intervals with bull or bear cycles. Originality/value This paper fills the literature gap by establishing the cyclical behaviour of stock markets.

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Stock market cycles and stock market development in Spain

Cited by 17 publications

References 44 publications

On the persistence and volatility in European, American and Asian stocks bull and bear markets

On the persistence and volatility in European, American and Asian stocks bull and bear markets

Stock volatility predictability in bull and bear markets

Classifying Chinese bull and bear markets: indices and individual stocks

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