An investigation of duration dependence in the American stock market cycle
Publication in refereed journal


香港中文大学研究人员 ( 现职)

庄太量教授 (经济学系)

全文

数位物件识别号 (DOI) http://dx.doi.org/10.1080/02664760903039875

引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/1WOS source URL

其它资讯

摘要This paper investigates the duration dependence of the US stock market cycles. A new classification method for bull and bear market regimes based on the crossing of the market index and its moving average is proposed. We show evidence of duration dependence in whole cycles. The half cycles, however, are found to be duration independent. More importantly, we find that the degree of duration dependence of the US stock market cycles has dropped after the launch of the NASDAQ index.

着者Chong TTL, Li ZM, Chen HQ, Hinich MJ
期刊名称JOURNAL OF APPLIED STATISTICS
出版年份20http://aims.cuhk.edu.hk/converis/portal/Publication/10
月份http://aims.cuhk.edu.hk/converis/portal/Publication/1
日期http://aims.cuhk.edu.hk/converis/portal/Publication/1
卷号37
期次8
出版社Taylor & Francis (Routledge): STM, Behavioural Science and Public Health Titles
页次http://aims.cuhk.edu.hk/converis/portal/Publication/1407 - http://aims.cuhk.edu.hk/converis/portal/Publication/14http://aims.cuhk.edu.hk/converis/portal/Publication/16
国际标準期刊号0266-4763
电子国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/1360-0532
语言英式英语

关键词duration dependence; moving average; stock market cycles
Web of Science 学科类别Mathematics; Statistics & Probability; STATISTICS & PROBABILITY