Stock market cycles and stock market development in Spain

  1. Gomez Biscarri, Javier
  2. Pérez de Gracia Hidalgo, Fernando
Zeitschrift:
Spanish economic review

ISSN: 1435-5469

Datum der Publikation: 2004

Ausgabe: 6

Nummer: 2

Seiten: 127-152

Art: Artikel

DOI: 10.1007/S10108-003-0078-7 DIALNET GOOGLE SCHOLAR

Andere Publikationen in: Spanish economic review

Ziele für nachhaltige Entwicklung

Zusammenfassung

In this paper we use Spanish stock market data to identify the bull and bear phases of the market and to analyze its characteristics during the period 1941-2002. We compare these characteristics with those of the US and of two other European countries (Germany and the UK). Our sample is divided in two subperiods in order to account for differences induced by the process of development undergone by Spanish capital markets in the late 1980s and early 1990s. We find that the Spanish stock market has become increasingly more similar to those of the more developed countries, although some differences still persist. Additionally, we show that concordance of the Spanish stock market with other developed markets has increased quite significantly.

Bibliographische Referenzen

  • Aggarwal, R., Inclan, C., Leal, R. (1999) Volatility in Emerging Stock Markets. Journal of Financial and Quantitative Analysis 34: 33-55
  • Arestis, P., Demetriades, P.O. (1997) Financial Development and Economic Growth: Assessing the Evidence. Economic Journal 107: 783-799
  • Arestis, P., Demetriades, P.O., Luintel, K. (2001) Financial Development and Economic Growth: The Role of Stock Markets. Journal of Money, Credit, and Banking 33: 16-41
  • Bekaert, G. (1995) Market Integration and Investment Barriers in Emerging Equity Markets. World Bank Economic Review 9: 403-444
  • Bekaert, G., Harvey, C.R. (1995) Time-varying and World Market Integration. Journal of Finance 50: 565-613
  • Bekaert, G., Harvey, C.R., Lumsdaine, R. (2002a) The Dynamics of Emerging Market Equity Flows. Journal of International Money and Finance 21: 295-350
  • Bekaert, G., Harvey, C.R., Lumsdaine, R. (2002b) Dating the Integration of World Equity Markets. Journal of Financial Economics 65: 203-249
  • Bekaert, G., Harvey, C.R., Lundblad, C. (2001) Emerging Equity Markets and Economic Development. Journal of Development Economics 66: 465-504
  • Bekaert, G., Harvey, C.R., Lundblad, C. (2002) Does financial market liberalization spur growth? Working paper, Duke, Columbia and Indiana Universities
  • Bekaert, G., Harvey, C.R., Ng, A. (2002) Market Integration and Contagion. Mimeo
  • Buckberg, E. (1995) Emerging Stock Markets and International Asset Pricing. World Bank Economic Review 9: 51-74
  • Bry, G., Boschan, C. (1971) Cyclical Analysis of Time Series: Selected Procedures and Computer Programs. NBER, New York
  • Chakrabarti, R., Roll, R. (2002) East Asia and Europe during the 1997 Asian Collapse: A Clinical Study of a Financial Crisis. Journal of Financial Markets 5: 1-30
  • Chen, G.M., Firth, M., Rui, O.M. (2002) Stock Market Linkages: Evidence from Latin America. Journal of Banking and Finance 26: 1113-1141
  • DeLong, J.B. (1992) Bull and Bear in the United States. In: Newman, P., Milgate, M., Eatwell, J. (eds.) The New Palgrave Dictionary of Money and Finance. Press Limited, London
  • Diebold, F.X., Rudebusch, G.G. (1996) Measuring Business Cycles: A Modern Perspective. Review of Economics and Statistics 78: 67-77
  • Edwards, S. (2000) Contagion. World Economy 23: 873-900
  • Edwards, S., Gómez Biscarri, J., Pérez de Gracia, F. (2003) Stock Market Cycles, Financial Liberalization and Volatility. Journal of International Money and Finance 22: 925-955
  • Errunza, V., Losq, E., Padmanabhan, P. (1992) Tests of Integration, Mild Segmentation, and Segmentation Hypothesis. Journal of Banking and Finance 16: 949-972
  • Forbes, K., Rigobon, R. (2002) No Contagion, only Interdependence: Measuring Stock Market Comovements. Journal of Finance 57: 2223-2261
  • Galbraith, J.K. (1954) The Great Crash. Riverside Press, Cambridge
  • Ghysels, E., Harvey, A.C., Renault, E. (1996) Stochastic Volatility. In: Maddala, G.S., Rao (eds.) Handbook of Statistics, Vol. 14: Statistical Methods in Finance. North Holland Publishers, Amsterdam
  • Goodwin, T.H. (1993) Business-Cycle Analysis with a Markov-Switching Model. Journal of Business and Economic Statistics 11: 331-339
  • Hamilton, J.D. (1989) A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica 57: 357-384
  • Hamilton, J.D. (1994) Time Series Analysis. Princeton University Press, Princeton
  • Hamilton, J.D. (2003) Comment on 'A Comparison of Two Business Cycle Dating Methods.' Journal of Economic Dynamics and Control 27: 1691-1693
  • Hamilton, J.D., Lin, G. (1996) Stock Market Volatility and the Business Cycle. Journal of Applied Econometrics 11: 573-593
  • Harding, D., Pagan, A.R. (2000) Knowing the Cycle. In: Backhouse, Salanti (eds.) Macroeconomics and the Real World - Volume 1: Econometric Techniques and Macroeconomics. Oxford University Press, Oxford
  • Harding, D., Pagan, A.R. (2002) Dissecting the Cycle: A Methodological Investigation. Journal of Monetary Economics 49: 365-381
  • Harding, D., Pagan, A.R. (2003a) A Comparison of Two Business Cycle Dating Methods. Journal of Economic Dynamics and Control 27: 1681-1690
  • Harding, D., Pagan, A.R. (2003b) Rejoinder to James Hamilton. Journal of Economic Dynamics and Control 27: 1695-1698
  • Kaminsky, G., Schmukler, S. (2003) Short-Run Pain, Long-Run Gain: The Effects of Financial Liberalization. NBER Working Paper 9787
  • Keynes, J.M. (1936) The General Theory of Employment, Interest and Money. Reprinted in: The Collected Writings of John Maynard Keynes, vol.7 (1973). Macmillan, London
  • Kim, C, Nelson, C.R. (1999) State-Space Models with Regime Switching. MIT Press, Cambridge
  • King, R.G., Levine, R. (1993) Finance and Growth: Schumpeter Might Be Right. Quarterly Journal of Economics 108: 717-737
  • Levine, R., Loayza, N., Beck, T. (2000) Financial Intermediation and Growth: Causality and Causes. Journal of Monetary Economics 46: 31-77
  • Levine, R, Zervos, S. (1998) Stock markets, banks and economic growth. American Economic Review 88: 537-558
  • Maddala, G.S., Li, H. (1996) Bootstrap Based Tests in Financial Models. In: Maddala, G.S., Rao (eds.) Handbook of Statistics, Vol. 14: Statistical Methods in Finance. North Holland Publishers, Amsterdam
  • Maheu, J.M., McCurdy, T.H. (2000) Identifying Bull and Bear Markets in Stock Returns. Journal of Business and Economic Statistics 18: 100-112
  • Pagan, A.R., Sossounov, K.A. (2003) A Simple Framework for Analyzing Bull and Bear Markets. Journal of Applied Econometrics 18: 23-46
  • Ruiz, E. (1994) Quasi-maximum Likelihood Estimation of Stochastic Volatility Models. Journal of Econometrics 63: 289-306
  • Ramchand, L., Susmel, R. (1998) Volatility and cross Correlation across Major Stock Markets. Journal of Empirical Finance 5: 397-416
  • Shiller, R.J. (1989) Market Volatility. MIT Press, Cambridge
  • Shiller, R.J. (2000) Irrational Exuberance. Broadway Books, New York
  • Siegel, J.J. (1998) Stocks for the Long Run. McGraw-Hill, New York
  • Watson, M.W. (1994) Business-Cycle Durations and Postwar Stabilization of the U.S. Economy. American Economic Review 84: 24-46
Fuente de los datos: Dialnet