Template-type: ReDif-Paper 1.0
Author-Name: Candelon Bertrand 
Author-Name: Metiu Norbert 
Author-workplace-name: METEOR
Title: Testing for Exceptional Bulls and Bears: a Non-Parametric Perspective
Abstract: This paper investigates exceptional phases of stock market cycles. Defined in Pagan and Sossounov (2003) as unusual, they are detected as outliers in the historical distribution. Moreover, this study completes the growing literature on stock market bulls and bears in several aspects. First,it extends the description of financial cy- cles by going beyond solely the duration feature. Second, a new strategy to test for single and multiple outliers is presented. Based on this procedure, the exceptional bulls and bears that occurred since 1973 are detected. A complementary analysis deals with the specific cross-country patterns of the current sub-prime crisis. Our results are mixed, in the sense that they do not support the idea that the ongoing bear is exceptional for all the analyzed countries. Moreover, the results indicate that the stock market indices are still far away from the thresholds beyond which the current bear phase will become exceptional worldwide.
Keywords: monetary economics ; 
Series: Research Memoranda
Creation-Date: 2009
Number: 017
File-URL: http://digitalarchive.maastrichtuniversity.nl/fedora/objects/guid:cb7f9e51-8ea2-46f4-9a5d-919154a0efcf/datastreams/ASSET1/content
File-Format: application/pdf
File-Size: 431640
Handle: RePEc:unm:umamet:2009017