Duration dependence in the US stock market cycle: a parametric approach
Duration dependence in the US stock market cycle: a parametric approach
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美国股市周期的持续时间依赖性：参数方法
DOI：
10.1080/758522757
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发表时间：
1995
期刊：
影响因子：
--
通讯作者：
R. Defina
中科院分区：
文献类型：
--
作者：
S. Cochran;R. Defina
这项研究使用参数风险模型来考察1885年1月至1992年7月期间美国股市周期的持续时间相关性。结果表明，持续时间依赖存在于二战前的扩张和二战后的收缩中。然而，战前的收缩和战后的扩张并不表现出持续时间的依赖性。此外，证据表明，随着时间的推移，市场扩张中的持续时间依赖性降低，而收缩中的持续时间依赖性增加。持续期依赖与可预测的股价行为是一致的。尽管在这项研究中没有正式讨论，但可预测性可能来自证券定价中的暂时性“时尚”，或者来自时变的要求回报。无论来源如何，持续期依赖模式的转变表明，在所研究的时期内，股市的周期性行为发生了变化。平均位相持续时间不存在离散位移和趋势，这表明它们之间存在着明显的差异。
This study uses parametric hazard models to investigate duration dependence in US stock market cycles over the January 1885 to July 1992 period. The results show that duration dependence exists in pre-World War II expansions and in post-World War II contractions. Pre-war contractions and post-war expansions, however, do not exhibit duration dependence. Additionally, the evidence suggests that duration dependence in market expansions has reduced over time, while duration dependence in contractions has increased. Duration dependence is consistent with predictable stock price behaviour. Although not formally addressed in this study, predictability may arise from either temporary ‘fads’ in the pricing of securities or from time-varying required returns. Regardless of the source, the shift in the pattern of duration dependence suggests that a change occurred in the cyclical behaviour of the stock market during the period studied. Discrete shifts and trends in mean phase duration do not exist, indicating that t...