Components of Bull and Bear Markets: Bull Corrections and Bear Rallies
نویسندگان
چکیده
منابع مشابه
Components of bull and bear markets: bull corrections and bear rallies
Existing methods of partitioning the market index into bull and bear regimes do not identify market corrections or bear market rallies. In contrast, our probabilistic model of the return distribution allows for rich and heterogeneous intra-regime dynamics. We focus on the characteristics and dynamics of bear market rallies and bull market corrections, including, for example, the probability of ...
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Traditional methods used to partition the market index into bull and bear regimes often sort returns ex post based on a deterministic rule. We model the entire return distribution; two states govern the bull regime and two govern the bear regime, allowing for rich and heterogeneous intra-regime dynamics. Our model can capture bear market rallies and bull market corrections. A Bayesian estimatio...
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We develop a three-dimensional nonlinear dynamic model in which the stock markets of two countries are linked through the foreign exchange market. Connections are due to the trading activity of heterogeneous speculators. Using analytical and numerical tools, we seek to explore how the coupling of the markets may affect the emergence of bull and bear market dynamics. The dimension of the model c...
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Article history: Received 18 September 2009 Received in revised form 21 July 2010 Accepted 11 August 2010 Available online 18 August 2010 We examine asymmetries in the impact of monetary policy surprises on stock returns between bull and bear markets in the period 1994 to 2005. We ask how these impacts respond to the relative ability of firms to obtain external finance. We find that the impact ...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2012
ISSN: 0735-0015,1537-2707
DOI: 10.1080/07350015.2012.680412