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A comparative analysis of stock market cycles

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  • Jorge Mario Uribe
  • Stephanía Mosquera

Abstract

In this article, we date the ‘recession’ and ‘expansion’ phases of 46 stock markets around the world from December 1994 to September 2013. We use the Harding and Pagan methodology to identify peaks and troughs in these stock market indices. This approach enables us to establish periods of synchronization between the markets based on the timing of peaks and troughs and to measure this synchronization by means of the Harding and Pagan statistic. We find that several recent world crisis episodes and simultaneous recoveries can be identified with this method. We also present evidence demonstrating an increase in the pro-cyclicality of stock markets around the world.

Suggested Citation

  • Jorge Mario Uribe & Stephanía Mosquera, 2016. "A comparative analysis of stock market cycles," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 9(3), pages 241-261, September.
    • Handle: RePEc:taf:macfem:v:9:y:2016:i:3:p:241-261
    DOI: 10.1080/17520843.2015.1123744
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    References listed on IDEAS

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