Structural change test in duration of bull and bear markets

- Equity prices over long periods can be described as bull and bear market cycles.
- A test to analyze structural changes in these cycle durations is proposed.
- There is evidence of structural break in the bull market duration in April, 1942.

We propose a recursive test to analyze structural changes in duration of bull and bear markets. Using the Dow Jones Industrial Average index, we detected a single structural break in the bull market duration in April, 1942.