Identifying turbulent and calm regimes in stock prices: evidence from the Taiwan stock market

References

• Bhaduri , S. N. and Durai , R. S. 2006 . Asymmetric beta in bull and bear market conditions: Evidences from India . Applied Financial Economics Letters , 2 : 55 – 9 .
   Google Scholar
• Chen , S. N. 1982 . An examination of risk return relationship in bull and bear markets using time-varying betas . Journal of Financial and Quantitative Analysis , 17 : 265 – 86 .
   Web of Science ®Google Scholar
• Engle , R. F. 1982 . Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation . Econometrica , 50 : 987 – 1008 .
   Web of Science ®Google Scholar
• Engel , C. and Hamilton , J. D. 1990 . Long swings in the dollar: Are they in the data and do markets know it? . American Economic Review , 80 : 689 – 713 .
   Web of Science ®Google Scholar
• Fabozzi , F. J. and Francis , J. C. 1977 . Stability tests for alpha and betas over bull and bear market conditions . Journal of Finance , 17 : 1093 – 9 .
   Google Scholar
• Fernández , F. , González , C. and Sosvilla , S. 2000 . On the profitability of technical trading rules based on artificial neural networks: evidence from the Madrid stock market . Economics Letters , 69 : 89 – 94 .
   Web of Science ®Google Scholar
• Huang , Y. L. and Huang , C.-H. 2007 . The persistence of Taiwan's output fluctuations: an empirical study using innovation regime-switching model . Applied Economics , 39 : 2673 – 79 .
   Web of Science ®Google Scholar
• Huang , Y. L. 2008 . An alternative estimation algorithm for innovation regime-switching models . Applied Economics Letters , 15 : 225 – 229 .
   Web of Science ®Google Scholar
• Hull , J. C. 2000 . Options, Futures and other Derivative Securities , London : Prentice .
   Google Scholar
• Kuan , C.-M. , Huang , Y.-L. and Ruey , S. T. 2005 . An unobserved component model with switching permanent and transitory innovations . Journal of Business and Economic Statistics , 23 : 443 – 54 .
   Web of Science ®Google Scholar
• Ljung , G. M. and Box , G. E. P. 1978 . On a measure of lack of fit in time series models . Biometrika , 65 : 297 – 303 .
   Web of Science ®Google Scholar
• Maheu , J. M. and McCurdy , T. H. 2000 . Identifying bull and bear markets in stock returns . Journal of Business and Economic Statistics , 18 : 100 – 112 .
   Web of Science ®Google Scholar
• Matilla-Garcia , M. 2006 . Are trading rules based on genetic algorithms profitable? . Applied Economics Letters , 13 : 123 – 6 .
   Web of Science ®Google Scholar
• Pagan , A. R. and Sossounov , K. A. 2003 . A simple framework for analyzing bull and bear markets . Journal of Applied Econometrics , 18 : 23 – 46 .
   Web of Science ®Google Scholar
• Samuelson , P. 1965 . Proof that properly anticipated prices fluctuate randomly . Industrial Management Review , 6 : 41 – 9 .
   Web of Science ®Google Scholar
• Summers , L. H. 1986 . Does the stock market rationally reflect fundamental values? . Journal of Finance , 41 : 591 – 601 .
   Web of Science ®Google Scholar