Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1002965 | Research in International Business and Finance | 2010 | 10 Pages |
Abstract
In this paper we test whether mean reversion in stock market prices presents a different behavior in bull and bear markets. We date the US bull and bear periods using Bry and Boschan (1971) algorithm. We examine the order of integration in the S&P 500 stock market index covering a daily period from August 1929 to December 2006 in bull and bear phases. Our results indicate the existence of different episodes of mean reversion, which mainly correspond to bull market periods.
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Social Sciences and Humanities
Business, Management and Accounting
Business and International Management
Authors
J. Cunado, L.A. Gil-Alana, Fernando Perez de Gracia,