IDEAS home Printed from https://ideas.repec.org/a/spt/fininv/v1y2012i1f1_1_7.html
   My bibliography  Save this article

Have bull and bear markets changed over time? Empirical evidence from the US-stock market

Author

Listed:
  • Klaus Grobys

Abstract

This contribution analyzes bull and bear markets from 1954:1-2011:2 in the US-stock index S&P 500. Thereby, a 2-State-Markov-Switching model is applied to figure out bull and bear market regimes within the latter period, whereby the estimated state probabilities are used to estimate a dummy variable model by employing operational criteria. A sample-split analysis, where the data set is divided into two samples of equal length, gives evidence for a structural break in the expectation of returns being associated with bull market regimes whereas no structural break can be ascertained concerning bear market regimes. This outcome has strong implications for modern asset allocation theory which takes the presence of regime switching into account as investors who expect a significant increase in stock returns would allocate a higher weight to stocks even though they would face bull market regimes at the time point when deciding on asset allocations.

Suggested Citation

  • Klaus Grobys, 2012. "Have bull and bear markets changed over time? Empirical evidence from the US-stock market," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 1(1), pages 1-7.
  • Handle: RePEc:spt:fininv:v:1:y:2012:i:1:f:1_1_7
    as

    Download full text from publisher

    File URL: http://www.scienpress.com/Upload/JFIA%2fVol%201_1_7.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Amanjot Singh & Parneet Kaur, 2017. "Does US Financial Stress Explain Risk–Return Dynamics in Indian Equity Market? A Logistic Regression Approach," Vision, , vol. 21(1), pages 13-22, March.
    2. Amanjot Singh & Manjit Singh, 2016. "Risk–Return Relationship in BRIC Equity Markets: Evidence from Markov Regime Switching Model with Time-varying Transition Probabilities," Metamorphosis: A Journal of Management Research, , vol. 15(2), pages 69-78, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spt:fininv:v:1:y:2012:i:1:f:1_1_7. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Eleftherios Spyromitros-Xioufis (email available below). General contact details of provider: http://www.scienpress.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.