Bear, bull, sidewalk, and crash : the evolution of the US stock market using over a century of daily data

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Authors

Wang, Shixuan
Gupta, Rangan
Zhang, Yue-Jun

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Publisher

Elsevier

Abstract

In this paper, we employ a four-state hidden semi-Markov model, which outperforms a hidden Markov model, to identify market conditions of the US stock market over the daily period from 16th of February, 1885 to 4th of June, 2020. Our results indicate that the four hidden states represent bear-, bull-, sidewalk-, and crash-markets, which in turn appropriately capture the various major historical events during the period of study.

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Keywords

Dow Jones industrial average (DJIA), Hidden (semi-)Markov models, Stock returns, Market conditions

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Citation

Wang, S., Gupta, R. & Zhang, Y.-J. 2021, 'Bear, bull, sidewalk, and crash: the evolution of the US stock market using over a century of daily data', Finance Research Letters, vol. 43, art. 101998, pp. 1-6.