期刊名称：International Review of Management and Business Research
印刷版ISSN：2307-5953
电子版ISSN：2306-9007
出版年度：2015
卷号：4
期号：2Part 2
页码：572-589
出版社：Academy of IRMBR
摘要：In this paper, we have two goals. First, we try to identify the stock market states and outline their statistical properties by using Multi-states Duration-Dependence Markov-switching models. Results show that the three-state model outperforms other models. An application to Tunisian stock market reveals that there exists three different states and each state represents different features of Tunisian stock market. Second, we construct a turning index based on the smoothed probabilities in order to identify the different Tunisian market cycle phases. The relevance of our index was documented from the synchronization between the values of the turning index and the values of TUNINDEX index return. It is well-adapted in order to account for extreme events.
关键词：Duration-Dependence; Risk-Return Trade-off; Tunisian Stock Market; Markov-Switching Model; Turning index.
