Cunado, J.; Gil-Alana, L.A.; Gracia, Fernando Perez de - In: Research in International Business and Finance 24 (2010) 2, pp. 113-122
In this paper we test whether mean reversion in stock market prices presents a different behavior in bull and bear markets. We date the US bull and bear periods using Bry and Boschan (1971) algorithm. We examine the order of integration in the S&P 500 stock market index covering a daily period...
