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Structural changes in duration of bull and bear markets and their connection with business cycles
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Resumo(s)
O presente trabalho analisa relações entre finanças e macroeconomia, procurando responder a como quebras de estrutura na duração dos mercados bull e bear estão ligadas aos ciclos económicos. Para tal, é revisto o teste de quebras de estrutura proposto por Nicolau (2016) e são introduzidos dois testes alternativos, que através de um estudo de simulação Monte Carlo, evidenciam menos sobre-rejeição para alguns processos geradores de dados, provando ser úteis na obtenção de resultados robustos.
Aplicamos os testes a uma base de dados composta por índices bolsistas de 38 mercados desenvolvidos e em emersão, ajustados à capitalização de mercado, construídos pela Morgan Stanley Capital International. Nos resultados obtidos encontramos várias quebras de estrutura que revelam estar ligadas a eventos macroeconómicos, além disso, existe evidência estatística de que decréscimos na duração dos ciclos de mercado bull antecedem o pico dos ciclos económicos.
The present work analyses relations between finance and macroeconomics, aiming to answer how structural changes in duration of bull and bear markets are connected with business cycles. In order to do so, we review the structural change test proposed by Nicolau (2016) and introduce two similar alternatives, which through a Monte Carlo simulation study, show less over-rejection for some data generating processes, proving to be useful in obtaining robust results. We apply the tests to a database consisting on adjusted market capitalization stock market indexes of 38 developed and emerging markets, constructed by Morgan Stanley Capital International. In our results we find several structural changes that seem to be linked to macroeconomic events, furthermore, there is statistical evidence that decreases in duration of bull market cycles anticipate the peak of business cycles.
The present work analyses relations between finance and macroeconomics, aiming to answer how structural changes in duration of bull and bear markets are connected with business cycles. In order to do so, we review the structural change test proposed by Nicolau (2016) and introduce two similar alternatives, which through a Monte Carlo simulation study, show less over-rejection for some data generating processes, proving to be useful in obtaining robust results. We apply the tests to a database consisting on adjusted market capitalization stock market indexes of 38 developed and emerging markets, constructed by Morgan Stanley Capital International. In our results we find several structural changes that seem to be linked to macroeconomic events, furthermore, there is statistical evidence that decreases in duration of bull market cycles anticipate the peak of business cycles.
Descrição
Mestrado em Econometria Aplicada e Previsão
Palavras-chave
Ciclos Económicos Crises Económicas Duração de Ciclos de Mercados Bull e Bear Mercados Bull e Bear MSCI Teste de Quebra de Estrutura Bull and Bear Markets Business Cycles Duration of Bull and Bear Market Cycles Economic Crisis Structural Change Test
Contexto Educativo
Citação
Cruz, João António Mendes da (2018). "Structural changes in duration of bull and bear markets and their connection with business cycles". Dissertação de Mestrado, Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Editora
Instituto Superior de Economia e Gestão