The DOI matches its Crossref record; 39 of the 39 references it cites were found in a registry or an index.
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets
Open accessAbstract
This article studies time series dependence in the direction of stock prices by modeling the (instantaneous) probability that a bull or bear market terminates as a function of its age and a set of underlying state variables, such as interest rates. A random walk model is rejected both for bull and bear markets. Although it fits the data better, a generalized autoregressive conditional heteroscedasticity model is also found to be inconsistent with the very long bull markets observed in the data. The strongest effect of increasing interest rates is found to be a lower bear market hazard rate and hence a higher likelihood of continued declines in stock prices.
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Cites
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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
GLOSTEN, L. R., JAGANNATHAN, R., & RUNKLE, D. E. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb05128.x · Cited by 9,008
The Econometrics of Financial Markets
Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (2012) · Princeton University Press eBooks · doi:10.2307/j.ctt7skm5 · Cited by 5,875
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210
Business conditions and expected returns on stocks and bonds
Fama, E. F., & French, K. R. (1989) · Journal of Financial Economics · doi:10.1016/0304-405x(89)90095-0 · Cited by 3,933
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
Lo, A. W., & MacKinlay, A. C. (1988) · Review of Financial Studies · doi:10.1093/rfs/1.1.41 · Cited by 3,731
Permanent and Temporary Components of Stock Prices
Fama, E. F., & French, K. R. (1988) · Journal of Political Economy · doi:10.1086/261535 · Cited by 3,025
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Simple technical trading rules and the stochastic properties of stock returns
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Journal of Economic Literature
(2018) · AEA Papers and Proceedings · doi:10.1257/pandp.108.654 · Cited by 2,110
Cited by
Short-Run Pain, Long-Run Gain: Financial Liberalization and Stock Market Cycles
Kaminsky, G. L., & Schmukler, S. L. (2008) · Review of Finance · doi:10.1093/rof/rfn002 · Cited by 276
Metadata
- Authors
- Lunde, A., & Timmermann, A.
- Venue
- Journal of Business & Economic Statistics
- Publisher
- Informa UK Limited
- Published
- 2004-07
- Volume
- 22
- Issue
- 3
- Pages
- 253-273
- ISSN
- 0735-0015 (ISSN-L)
- 1537-2707
- OpenAlex
- W1490914203
- Cited by
- 258
- References
- 39
- FWCI
- 7.55
- Type
- journal article
- Language
- en
- Open access
- bronze
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
