Examining the heterogeneous regimes of stock market identified with two variants of B-B algorithms that differ in rigidness of specification
This paper studies the more prolonged type of heterogeneous regimes in the stock market identified with the non-parametric Bry and Boschan (1971) (B-B) algorithm. Specifically, the paper extracts and examines the statistical properties of these durations derived using two variants of B-B algorithms,...
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| Format: | Article |
| Language: | English English |
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2017
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| Online Access: | https://eprints.ums.edu.my/id/eprint/27398/1/Examining%20the%20heterogeneous%20regimes%20of%20stock%20market%20identified%20with%20two%20variants%20of%20B-B%20algorithms%20that%20differ%20in%20rigidness%20of%20specification%20FULL%20TEXT.pdf https://eprints.ums.edu.my/id/eprint/27398/2/Examining%20the%20heterogeneous%20regimes%20of%20stock%20market%20identified%20with%20two%20variants%20of%20B-B%20algorithms%20that%20differ%20in%20rigidness%20of%20specification%20ABSTRACT.pdf |
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| author | Ho, Yew Joe Mario Arturo Ruiz Estrada Su, Fei Yap |
| author_facet | Ho, Yew Joe Mario Arturo Ruiz Estrada Su, Fei Yap |
| author_sort | Ho, Yew Joe |
| collection | UMS |
| description | This paper studies the more prolonged type of heterogeneous regimes in the stock market identified with the non-parametric Bry and Boschan (1971) (B-B) algorithm. Specifically, the paper extracts and examines the statistical properties of these durations derived using two variants of B-B algorithms, namely the Lunde and Timmerman (2004) B-B algorithm and the Candelon, Piplack and Straetmans (2008) B-B algorithm. These two algorithms are contrasting extremes in terms of specification rigidness. The results show that the Candelon et al. (2008) B-B algorithm which is less rigid between the two, detects more frequent switching of regimes, has lower standard deviation and yields higher values of cumulative return and loss. The greater sensitivity, however, may not imply superiority as the fundamental aim of stock market regimes dating is to clearly detect the unobserved long-run structure of the market. |
| first_indexed | 2024-03-06T03:07:32Z |
| format | Article |
| id | ums.eprints-27398 |
| institution | Universiti Malaysia Sabah |
| language | English English |
| last_indexed | 2024-03-06T03:07:32Z |
| publishDate | 2017 |
| record_format | dspace |
| spelling | ums.eprints-273982021-06-25T03:12:41Z https://eprints.ums.edu.my/id/eprint/27398/ Examining the heterogeneous regimes of stock market identified with two variants of B-B algorithms that differ in rigidness of specification Ho, Yew Joe Mario Arturo Ruiz Estrada Su, Fei Yap HB Economic theory. Demography QA Mathematics This paper studies the more prolonged type of heterogeneous regimes in the stock market identified with the non-parametric Bry and Boschan (1971) (B-B) algorithm. Specifically, the paper extracts and examines the statistical properties of these durations derived using two variants of B-B algorithms, namely the Lunde and Timmerman (2004) B-B algorithm and the Candelon, Piplack and Straetmans (2008) B-B algorithm. These two algorithms are contrasting extremes in terms of specification rigidness. The results show that the Candelon et al. (2008) B-B algorithm which is less rigid between the two, detects more frequent switching of regimes, has lower standard deviation and yields higher values of cumulative return and loss. The greater sensitivity, however, may not imply superiority as the fundamental aim of stock market regimes dating is to clearly detect the unobserved long-run structure of the market. 2017 Article PeerReviewed text en https://eprints.ums.edu.my/id/eprint/27398/1/Examining%20the%20heterogeneous%20regimes%20of%20stock%20market%20identified%20with%20two%20variants%20of%20B-B%20algorithms%20that%20differ%20in%20rigidness%20of%20specification%20FULL%20TEXT.pdf text en https://eprints.ums.edu.my/id/eprint/27398/2/Examining%20the%20heterogeneous%20regimes%20of%20stock%20market%20identified%20with%20two%20variants%20of%20B-B%20algorithms%20that%20differ%20in%20rigidness%20of%20specification%20ABSTRACT.pdf Ho, Yew Joe and Mario Arturo Ruiz Estrada and Su, Fei Yap (2017) Examining the heterogeneous regimes of stock market identified with two variants of B-B algorithms that differ in rigidness of specification. Labuan Bulletin of International Business & Finance (LBIBf), 15 (1). pp. 32-41. ISSN 2600-7894 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3009099 |
| spellingShingle | HB Economic theory. Demography QA Mathematics Ho, Yew Joe Mario Arturo Ruiz Estrada Su, Fei Yap Examining the heterogeneous regimes of stock market identified with two variants of B-B algorithms that differ in rigidness of specification |
| title | Examining the heterogeneous regimes of stock market identified with two variants of B-B algorithms that differ in rigidness of specification |
| title_full | Examining the heterogeneous regimes of stock market identified with two variants of B-B algorithms that differ in rigidness of specification |
| title_fullStr | Examining the heterogeneous regimes of stock market identified with two variants of B-B algorithms that differ in rigidness of specification |
| title_full_unstemmed | Examining the heterogeneous regimes of stock market identified with two variants of B-B algorithms that differ in rigidness of specification |
| title_short | Examining the heterogeneous regimes of stock market identified with two variants of B-B algorithms that differ in rigidness of specification |
| title_sort | examining the heterogeneous regimes of stock market identified with two variants of b b algorithms that differ in rigidness of specification |
| topic | HB Economic theory. Demography QA Mathematics |
| url | https://eprints.ums.edu.my/id/eprint/27398/1/Examining%20the%20heterogeneous%20regimes%20of%20stock%20market%20identified%20with%20two%20variants%20of%20B-B%20algorithms%20that%20differ%20in%20rigidness%20of%20specification%20FULL%20TEXT.pdf https://eprints.ums.edu.my/id/eprint/27398/2/Examining%20the%20heterogeneous%20regimes%20of%20stock%20market%20identified%20with%20two%20variants%20of%20B-B%20algorithms%20that%20differ%20in%20rigidness%20of%20specification%20ABSTRACT.pdf |
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