Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247059 
Year of Publication: 
2018
Series/Report no.: 
EHES Working Papers in Economic History No. 129
Publisher: 
European Historical Economics Society (EHES), s.l.
Abstract: 
Abstract We present new short, medium, and long-run indicators to date and characterise expansions and contractions in financial and economic time series. These Bull-Bear Indicators (BBIs) measure the risk-adjusted excess return with respect to average, to different time horizons, expressed in standard deviations. We illustrate the benefits of this measure by describing the boom-bust cycle in the UK stock market between 1922 and 2015. We compare our results with those obtained from frequently used methodologies in the literature and find that our measures contain substantially more information than the usual binary sequences that describe expansions and contractions and allow for a more granular and nuanced description of time series.
Subjects: 
Boom-bust cycle
Bull and bear markets
Stock market
Time series analysis
Severity measures
Dating rules
JEL: 
C1
C43
E32
G01
G1
N14
Document Type: 
Working Paper

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