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...

This article investigates the degree of persistence in the international monthly tourist time series in Spain using long memory (fractional integration) techniques. Our findings can be summarized as follows. The two standard hypotheses of integer degrees of differentiation, i.e., the I(0) and...