Arbeitspapier
A New Indicator for Describing Bull and Bear Markets
Abstract We present new short, medium, and long-run indicators to date and characterise expansions and contractions in financial and economic time series. These Bull-Bear Indicators (BBIs) measure the risk-adjusted excess return with respect to average, to different time horizons, expressed in standard deviations. We illustrate the benefits of this measure by describing the boom-bust cycle in the UK stock market between 1922 and 2015. We compare our results with those obtained from frequently used methodologies in the literature and find that our measures contain substantially more information than the usual binary sequences that describe expansions and contractions and allow for a more granular and nuanced description of time series.
- Sprache
-
Englisch
- Erschienen in
-
Series: EHES Working Papers in Economic History ; No. 129
- Klassifikation
-
Wirtschaft
Index Numbers and Aggregation; Leading indicators
Business Fluctuations; Cycles
Financial Crises
Economic History: Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations: Europe: 1913-
- Thema
-
Boom-bust cycle
Bull and bear markets
Stock market
Time series analysis
Severity measures
Dating rules
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Forero-Laverde, German
- Ereignis
-
Veröffentlichung
- (wer)
-
European Historical Economics Society (EHES)
- (wo)
-
s.l.
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Forero-Laverde, German
- European Historical Economics Society (EHES)
Entstanden
- 2018
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