Evidence of the duration-dependence from the stock markets in the Pacific Rim economies

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This article investigates the duration-dependent feature of five Pacific Rim economies. The duration-dependent Markov Switching model is employed to achieve this objective. The Savage-Dickey density ratio is also computed in support of the duration-dependent Markov switching model. The possible bull and bear market dates for each stock market are also identified by the posterior probability from the empirical model. It is unambiguous that Japan, South Korea and Hong Kong are all characterized by duration-dependence in a bear market but no duration-dependence in a bull market. In the case of Taiwan and Singapore, the duration-dependence feature holds for both the bear and bull markets.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/00036840600592858

Affiliations: 1: Department of Economics, Tunghai University, Taichung 407, Taiwan, ROC 2: Department of Money and Banking, National Chengchi University, Taipei 116, Taiwan, ROC

Publication date: June 1, 2007

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