Mean reversion in stock market prices : New evidence based on bull and bear markets
نویسندگان
چکیده
In this paperwe testwhethermean reversion in stockmarket prices presents a different behavior in bull and bear markets. We date the US bull and bear periods using Bry and Boschan (1971) algorithm. We examine the order of integration in the S&P 500 stock market index covering a daily period from August 1929 to December 2006 in bull and bear phases. Our results indicate the existence of different episodes of mean reversion, which mainly correspond to bull market periods. © 2009 Elsevier B.V. All rights reserved.
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