The Portuguese Stock Market Cycle : Chronology and Duration Dependence

This paper tries to identify, for the first time, a chronology for the Portuguese stock market cycle and test for the presence of duration dependence in bull and bear markets. A duration dependent Markov-switching model is estimated over monthly growth rates of the Portuguese Stock Index for the period 1989-201'3 Six episodes of bull/bear markets are identified during that period, as well as the presence of positive duration dependence in bear but not in bull markets