메뉴 건너뛰기




Volumn 14, Issue 4, 2005, Pages 469-486

Two centuries of bull and bear market cycles

Author keywords

Bulls and bears; Stock market; Turning point dating

Indexed keywords


EID: 27744491936     PISSN: 10590560     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.iref.2004.02.003     Document Type: Article
Times cited : (64)

References (27)
  • 1
    • 27744497532 scopus 로고    scopus 로고
    • Style investing, working paper no. W8039
    • National Bureau of Economic Research
    • Barberis, N., & Shleifer, A. (2000). Style investing, working paper no. W8039. National Bureau of Economic Research.
    • (2000)
    • Barberis, N.1    Shleifer, A.2
  • 2
    • 0003924343 scopus 로고
    • Cyclical analysis of time series: Selected procedures and computer programs
    • New York: NBER
    • G. Bry & C. Boschan Cyclical analysis of time series: Selected procedures and computer programs 1971 NBER New York
    • (1971)
    • Bry, G.1    Boschan, C.2
  • 3
    • 38149146922 scopus 로고
    • Detrending and turning points
    • F. Canova Detrending and turning points European Economic Review 38 1994 614-623
    • (1994) European Economic Review , vol.38 , pp. 614-623
    • Canova, F.1
  • 4
    • 0039835826 scopus 로고    scopus 로고
    • Detrending and business cycle facts
    • F. Canova Detrending and business cycle facts Journal of Monetary Economics 41 1998 475-512
    • (1998) Journal of Monetary Economics , vol.41 , pp. 475-512
    • Canova, F.1
  • 5
    • 3142778346 scopus 로고    scopus 로고
    • Does detrending matter for the determination of the reference cycle and the selection of turning points?
    • F. Canova Does detrending matter for the determination of the reference cycle and the selection of turning points? The Economic Journal 109 1999 126-150
    • (1999) The Economic Journal , vol.109 , pp. 126-150
    • Canova, F.1
  • 7
    • 0042594655 scopus 로고    scopus 로고
    • Momentum, business cycle and time-varying expected returns
    • T. Chordia & L. Shivakumar Momentum, business cycle and time-varying expected returns Journal of Finance 57 2002 985-1019
    • (2002) Journal of Finance , vol.57 , pp. 985-1019
    • Chordia, T.1    Shivakumar, L.2
  • 8
    • 27744475816 scopus 로고    scopus 로고
    • Volatility forecasts, trading volume and the ARCH vs. option-implied volatility tradeoff, working paper
    • University of British Columbia
    • Donaldson, G.R., & Kamstra, M.J. (2001). Volatility forecasts, trading volume and the ARCH vs. option-implied volatility tradeoff, working paper. University of British Columbia.
    • (2001)
    • Donaldson, G.R.1    Kamstra, M.J.2
  • 9
    • 0041299358 scopus 로고    scopus 로고
    • Fundamentals of investing
    • New York: Harper Collins
    • L.J. Gitman M.D. Joehnk Fundamentals of investing 1996 Harper Collins New York
    • (1996)
    • Gitman, L.J.1    Joehnk, M.D.2
  • 10
    • 0000741932 scopus 로고
    • Momentum strategies, portfolio performance, and herding: A study of mutual fund behaviour
    • M. Grinblatt S. Titman & R. Wermers Momentum strategies, portfolio performance, and herding: A study of mutual fund behaviour American Economic Review 85 1995 1088-1105
    • (1995) American Economic Review , vol.85 , pp. 1088-1105
    • Grinblatt, M.1    Titman, S.2    Wermers, R.3
  • 12
    • 0010699412 scopus 로고    scopus 로고
    • Extracting, analysing and using cyclical information
    • working paper. Australian National University
    • Harding, D., & Pagan, A. (2001). Extracting, analysing and using cyclical information, working paper. Australian National University.
    • (2001)
    • Harding, D.1    Pagan, A.2
  • 13
    • 0030191640 scopus 로고    scopus 로고
    • Commonality in the determinants of expected stock returns
    • R.A. Haugen & N.L. Baker Commonality in the determinants of expected stock returns Journal of Financial Economics 41 1996 401-439
    • (1996) Journal of Financial Economics , vol.41 , pp. 401-439
    • Haugen, R.A.1    Baker, N.L.2
  • 14
    • 84993907227 scopus 로고
    • Returns to buying winners and selling losers: Implications for stock market efficiency
    • N. Jegadeesh & S. Titman Returns to buying winners and selling losers: Implications for stock market efficiency Journal of Finance 48 1993 65-92
    • (1993) Journal of Finance , vol.48 , pp. 65-92
    • Jegadeesh, N.1    Titman, S.2
  • 15
    • 84919214538 scopus 로고
    • The relation between price changes and trading volume: A survey
    • J.M. Karpoff The relation between price changes and trading volume: A survey Journal of Financial and Quantitative Analysis 22 1987 109-126
    • (1987) Journal of Financial and Quantitative Analysis , vol.22 , pp. 109-126
    • Karpoff, J.M.1
  • 18
    • 0000706085 scopus 로고
    • A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance Matrix
    • W.K. Newey & K.D. West A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance Matrix Econometrica 55 1987 703-708
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 19
    • 12744259448 scopus 로고    scopus 로고
    • A simple framework for analysing bull and bear markets
    • working paper, Australian National University
    • Pagan, A.R., Sossounov, K.A. (2002), A simple framework for analysing bull and bear markets, working paper, Australian National University.
    • (2002)
    • Pagan, A.R.1    Sossounov, K.A.2
  • 21
    • 0006962368 scopus 로고    scopus 로고
    • The equity premium and structural breaks
    • working paper. National Bureau of Economic Research
    • Pastor, L., Stambaugh, R.F. (2000). The equity premium and structural breaks, working paper. National Bureau of Economic Research.
    • (2000)
    • Pastor, L.1    Stambaugh, R.F.2
  • 22
    • 27744455551 scopus 로고    scopus 로고
    • Mutual fund shareholder activity during U.S. stock market cycles, 1944-95
    • J. Rea & R. Marcus Mutual fund shareholder activity during U.S. stock market cycles, 1944-95 Investment Company Institute Perspective 2 1996 1-16
    • (1996) Investment Company Institute Perspective , vol.2 , pp. 1-16
    • Rea, J.1    Marcus, R.2
  • 23
    • 0040279298 scopus 로고    scopus 로고
    • Fads or bubbles?
    • Working paper, Bank of Canada
    • Schaller, H., Van Norden, S., Fads or bubbles?. Working paper, Bank of Canada, 1997.
    • (1997)
    • Schaller, H.1    Van Norden, S.2
  • 24
    • 0001735652 scopus 로고
    • Indexes of U.S. stock prices from 1802 to 1987
    • W.G. Schwert Indexes of U.S. stock prices from 1802 to 1987 Journal of Business 63 1990 399-442
    • (1990) Journal of Business , vol.63 , pp. 399-442
    • Schwert, W.G.1
  • 25
    • 38249004914 scopus 로고
    • A Markov model of heteroskedasticity, risk, and learning in the stock market
    • C. Turner R. Startz & C. Nelson A Markov model of heteroskedasticity, risk, and learning in the stock market Journal of Financial Economics 25 1989 3-22
    • (1989) Journal of Financial Economics , vol.25 , pp. 3-22
    • Turner, C.1    Startz, R.2    Nelson, C.3
  • 26
    • 0034367589 scopus 로고    scopus 로고
    • Herding among security analysts
    • I. Welch Herding among security analysts Journal of Financial Economics 58 2000 369-396
    • (2000) Journal of Financial Economics , vol.58 , pp. 369-396
    • Welch, I.1
  • 27
    • 0000667369 scopus 로고
    • Stock market prices and volumes of sales
    • C. Ying Stock market prices and volumes of sales Econometrica 34 1966 676-685
    • (1966) Econometrica , vol.34 , pp. 676-685
    • Ying, C.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.