Bear, bull, sidewalk, and crash : the evolution of the US stock market using over a century of daily data
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| dc.contributor.author | Wang, Shixuan
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| dc.contributor.author | Gupta, Rangan
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| dc.contributor.author | Zhang, Yue-Jun
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| dc.date.accessioned | 2021-04-13T06:17:26Z | |
| dc.date.issued | 2021-11 | |
| dc.description.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. | en_ZA |
| dc.description.department | Economics | en_ZA |
| dc.description.embargo | 2023-03-01 | |
| dc.description.librarian | hj2021 | en_ZA |
| dc.description.sponsorship | National Natural Science Foundation of China, Major Program of the National Fund of Philosophy and Social Science of China and Science and Technology Innovation Program of Hunan Province. | en_ZA |
| dc.description.uri | https://www.elsevier.com/locate/frl | en_ZA |
| dc.identifier.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. | en_ZA |
| dc.identifier.issn | 1544-6123 (print) | |
| dc.identifier.issn | 1544-6131 (online) | |
| dc.identifier.other | 10.1016/j.frl.2021.101998 | |
| dc.identifier.uri | http://hdl.handle.net/2263/79402 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | © 2020 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Finance Research Letters, vol. 43, art. 101998, pp. 1-6, 2021. doi : 10.1016/j.frl.2021.101998. | en_ZA |
| dc.subject | Dow Jones industrial average (DJIA) | en_ZA |
| dc.subject | Hidden (semi-)Markov models | en_ZA |
| dc.subject | Stock returns | en_ZA |
| dc.subject | Market conditions | en_ZA |
| dc.title | Bear, bull, sidewalk, and crash : the evolution of the US stock market using over a century of daily data | en_ZA |
| dc.type | Postprint Article | en_ZA |
