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Asia-Pacific Financial Markets

, Volume 19, Issue 2, pp 99–117 | Cite as

Identifying Bull and Bear Markets in Japan

  • Mai Shibata
Article

Abstract

This study investigates the returns and volatility of bull and bear markets as represented by the Tokyo Stock Price Index (TOPIX). Our results show that bull markets are characterized by high returns and low volatility and that the opposite is true for bear markets. Further, this study uncovers a relationship between the duration of bull and bear markets and the point at which the TOPIX has turned from bull to bear and vice versa. Our results indicate that a bull or bear market has a higher probability of continuing as the duration of market’s current trend lengthens. If a bull or bear market trend persists for more than nine months, its probability of continuing approaches 1. Conversely, the transition from a rising to a declining market, and vice versa, is more likely to occur when the previous trend has persisted for less than nine months.

Keywords

Bull and bear markets Volatility TOPIX Markov switching model Duration 

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Copyright information

© Springer Science+Business Media, LLC. 2011

Authors and Affiliations

  1. 1.College of BusinessRikkyo UniversityToshima, TokyoJapan

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