Detalle Publicación

Mean reversion in stock market prices: new evidence based on bull and bear markets

Autores: Cuñado Eizaguirre, Juncal; Gil Alaña, Luis Alberiko; Pérez de Gracia Hidalgo, Fernando
Título de la revista: RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
ISSN: 0275-5319
Volumen: 24
Número: 2
Páginas: 113 - 122
Fecha de publicación: 2010
Resumen:
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.
DOI: https://doi.org/10.1016/j.ribaf.2009.10.001
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