کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7355744 1477898 2018 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A top-down approach to identifying bull and bear market states
ترجمه فارسی عنوان
یک رویکرد به بالا به پایین برای شناسایی دولت های بازار بوقلمون و خرس
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
Bull and bear markets receive considerable media and academic attention. It is widely believed that such states are important determinants of wider market dynamics, yet no agreed definition exists. This paper investigates frameworks for ex post classification of asset prices in two-state (bull and bear) markets. An emphasis is placed on identifying state transition points that might achieve consensus. A number of potential difficulties with existing methodologies are highlighted. A principle-based approach is adopted from which a new, flexible, hierarchical methodology is proposed that addresses these issues and permits varying degrees of resolution allowing secondary trends such as bear rallies to be incorporated. The methodology is shown to be optimal under one measure of performance.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 55, January 2018, Pages 93-110
نویسندگان
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