A Comparative Analysis of Stock Market Cycles

Publicado en

  • Macroeconomics and Finance in Emerging Market Economies

Resumen

  • In this article, we date the ‘recession’ and ‘expansion’ phases of 46 stock markets around the world from December 1994 to September 2013. We use the Harding and Pagan methodology to identify peaks and troughs in these stock market indices. This approach enables us to establish periods of synchronization between the markets based on the timing of peaks and troughs and to measure this synchronization by means of the Harding and Pagan statistic. We find that several recent world crisis episodes and simultaneous recoveries can be identified with this method. We also present evidence demonstrating an increase in the pro-cyclicality of stock markets around the world.

fecha de publicación

  • 2016

Líneas de investigación

  • Crisis
  • Cycles
  • Stock Prices
  • Synchronization

Identificador de objeto digital (DOI)

  • https://doi.org/10.1080/17520843.2015.1123744

Página inicial

  • 241

Última página

  • 261

Volumen

  • 9

Issue

  • 3