Regime switching in stock market returns

Applied Financial Economics

Volumn 7, Issue 2, 1997, Pages 177-191

  Schaller, Huntley ^a   Van Norden, Simon ^b  

^a CARLETON UNIVERSITY   (Canada)

^b BANK OF CANADA   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0000770793     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/096031097333745     Document Type: Article

References (41)

1. Black, F. (1976) Studies of stock market volatility changes, Proceedings of the American Statistical Association. Business and Economic Statistics Section, 1976, 177-81.
2. Blanchard, O. J. and Watson, M. (1982) Bubbles, rational expectations and financial markets, in Crises in the Economic and Financial Structure, ed. P. Watchel, Lexington Books, Lexington MA.
3. Brock, W., Lakonishok, J. and LeBaron, B. (1992) Simple technical trading rules and the stochastic properties of stock returns, Journal of Finance, 47, 1731-64.
4. Campbell, J. Y. and Shiller, R. J. (1988) The dividend-price ratio and expectations of future dividends and discount factors, Review of Financial Studies, 1, 195-228.
5. Cecchetti, S. G., Lam, P.-S. and Mark, N. C. (1990) Mean reversion in equilibrium asset prices, American Economic Review, 80, 398-418.
6. Christie, A. A. (1982) The stochastic behavior of common stock variances: value, leverage, and interest rate effects, Journal of Financial Economics, 10, 407-432.
7. Curcio, R. and Shah, M. (1993) Business conditions and stock returns: a Markov switching regression model for the US stock market, Mimeo, London School of Economics.
8. Cutler, D., Poterba, J. M. and Summers, L. H. (1991) Speculative dynamics, Review of Economic Studies, 58, 529-46.
9. Diebold, F. X., Lee, J.-H. and Weinbach, G. C. (1993) Regime switching with time-varying transition probabilities, in Nonstationary Time Series Analysis and Cointegration, ed. C. Hargreaves, Oxford University Press, Oxford.
10. Elliott, G. and Stock, J. H. (1992) Inference in time series regression when the order of integration of a regressor is unknown, NBER Technical Working Paper 122.
11. Fama, E. F. (1991) Efficient capital markets II, Journal of Finance, XLVI, 1575-1617.
12. Fama, E. F. and French, K. R. (1988a) Dividend yields and expected stock returns, Journal of Financial Economics, 22, 3-25.
13. Fama, E. F. and French, K. R. (1988b) Permanent and temporary components of stock prices, Journal of Political Economy, 98, 246-74.
14. Filardo, A. J. (1992) Business cycle phases and their transitions, Manuscript, Federal Reserve Bank of Kansas City.
15. Garcia, R. (1992) Asymptotic null distribution of the likelihood ratio test in Markov switching models, Manuscript, University of Montreal.
16. Goetzmann, W. N. and Jorion, P. (1993) Testing and predictive power of divided yields, Journal of Finance, 48, 663-80.
17. Goldfeld, S. M. and Quandt, R. E. (1973) A Markov model for switching regressions, Journal of Econometrics, 1 (1), 3-15.
18. Hall, S. and Sola, M. (1993) Testing for collapsing bubbles: an endogenous switching ADF test, London Business School Discussion Paper 15-93.
19. Hamilton, J. D. and Susmel, R. (1994) Autoregressive conditional heteroskedasticity and changes in regime, Journal of Econometrics, 64 (1-2), 307-33.
20. Hamilton, J. D. (1993) Estimation, inference and forecasing of time series subject to changes in regime, in Maddala, Rao and Vinod (eds), Handbook of Statistics, 11, 231-60.
21. Hamilton, J. D. (1990) Specification testing in Markov-Switching time series models, Journal of Econometrics, 70, 127-57.
22. Hamilton, J. D. (1989) A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica, 57, 357-84.
23. Hansen, B. E. (1992) The likelihood ratio test under nonstandard conditions: testing the Markov switching model of GNP, Journal of Applied Econometrics, 7, S61-S82.
24. Hansen, B. E. (1993) Inference when a nuisance parameter is not identified under the null hypothesis, Mimeo, University of Rochester.
25. Jegadeesh, N. (1991) Seasonality in stock price mean reversion: evidence from the US and UK, Journal of Finance, XLVI, 1427-44.
26. Jog, V. and Schaller, H. (1993) A panel data test for mean reversion using randomization, Paper presented at the North American Winter Meetings of the Econometric Society, Anaheim CA.
27. Kandel, S. and Stambaugh, R. F. (1990) Expectations and volatility of consumption and asset returns, Review of Financial Studies, 3, 207-32.
28. Keim, D. B. and Stambaugh, R. F. (1986) Predicting returns in the stock and bond markets, Journal of Financial Economics, 17, 357-90.
29. Kim, M. J., Nelson, C. R. and Startz, R. (1991) Mean reversion in stock prices? A reappraisal of the empirical evidence, Review of Economic Studies, 58 (3), 515-28.
30. McQueen, G. (1992) Long-Horizon mean-reverting stock prices revisited, Journal of Financial and Quantitative Analysis, 27, 1-17.
31. McQueen, G. and Thorlay, S. (1991) Are stock returns predictable? A test using Markov chains, Journal of Finance, 46 (1), 239-63.
32. Nelson, C. R. and Kim, M. J. (1993) Predictable stock returns: the role of small sample bias, Journal of Finance, 48, 641-62.
33. van Norden, S. and Schaller, H. (1992) Speculative Behaviour, Regime-Switching, and Stock Market Crashes, Bank of Canada, Working Paper 96-13.
34. van Norden, S. and Schaller, H. (1993) The predictability of stock market regime: evidence from the Toronto stock exchange, Review of Economics and Statistics, LXXV (3).
35. van Norden, S. and Schaller, H. (1997) Fads or Bubbles? Bank of Canada, Working Paper, 97-2.
36. Pesaran, M. H. and Potter, S. M. (1993) Equilibrium Asset Pricing Models and Predictability of Excess Returns, University of California at Los Angeles Department of Economics, Working Paper 693.
37. Poterba, J. M. and Summers, L. H. (1988) Mean reversion in stock prices: evidence and implications, Journal of Financial Economics, 22, 27-59.
38. Richardson, M. and Stock, J. H. (1989) Drawing inferences from statistics based on multi-year asset returns, Journal of Financial Economics, 25, 323-48.
39. Schwert, G. W. (1989) Business cycles, financial crises, and stock volatility, Carnegie-Rochester Conference Series on Public Policy, 31, 83-126.
40. Turner, C. M., Startz, R. and Nelson, C. R. (1989) A Markov model of heteroscedasticity, risk and learning in the stock market, Journal of Financial Economics, 25, 3-22.
41. White, H. (1987) Specification testing in dynamic models, in Advances in Econometrics, Fifth World Congress Vol. II, ed. T. F. Bewley, Cambridge University Press, Cambridge.