Publication
Structural changes in the duration of bull markets and business cycle dynamics
| dc.contributor.author | Cruz, João | |
| dc.contributor.author | Nicolau, João | |
| dc.contributor.author | Rodrigues, Paulo M.M. | |
| dc.contributor.editor | Springer Nature | |
| dc.date.accessioned | 2023-03-22T15:22:14Z | |
| dc.date.available | 2023-03-22T15:22:14Z | |
| dc.date.issued | 2021 | |
| dc.description.abstract | This paper tests for structural changes in the duration of bull regimes in 18 developed and emerging economies’ adjusted market capitalization stock indexes, by using the novel approach of Nicolau (Econ Lett 146:64–67, 2016) as well as two additional new procedures introduced here; and investigates whether the structural changes detected in the bull markets’ duration are connected to the business cycle. We conclude that changes in the duration of bull market regimes seem to precede periods of economic recession. The results provide statistically significant evidence that decreases in bull markets’ duration do not occur independently from economic crises, as 13 out of the 18 markets considered in our sample verify such decreases at least 12 months prior to the occurrence of an economic crisis. Additionally, these structural changes seem to affect smaller companies first, and then the larger ones. The association between decreases in the bull market regimes’ duration and economic crises is possibly a consequence of financial markets’ leading behavior over the economy. These structural changes may serve as proxies for decreasing confidence in financial markets, which naturally affects economic stability. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | Cruz, João, João Nicolau and Paulo M.M. Rodrigues .(2021). “Structural changes in the duration of bull markets and business cycle dynamics”. Asia-Pacifc Financial Markets, Vol 28: pp. 333–352. (Search PDF in 2023) | pt_PT |
| dc.identifier.doi | 10.1007/s10690-020-09324-2 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10400.5/27499 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Structural Break | pt_PT |
| dc.subject | Duration | pt_PT |
| dc.subject | Bull Markets | pt_PT |
| dc.subject | Business Cycles | pt_PT |
| dc.title | Structural changes in the duration of bull markets and business cycle dynamics | pt_PT |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | article | pt_PT |