Loading...
Please wait, while we are loading the content...
Similar Documents
Detecting macroeconomic phases in the Dow Jones Industrial Average time series
| Content Provider | Semantic Scholar |
|---|---|
| Author | Wong, Jian Cheng Lian, Heng Cheong, Siew Ann |
| Copyright Year | 2009 |
| Abstract | In this paper, we perform statistical segmentation and clustering analysis of the Dow Jones Industrial Average (DJI) time series between January 1997 and August 2008. Modeling the index movements and log-index movements as stationary Gaussian processes, we find a total of 116 and 119 statistically stationary segments respectively. These can then be grouped into between five and seven clusters, each representing a different macroeconomic phase. The macroeconomic phases are distinguished primarily by their volatilities. We find that the US economy, as measured by the DJI, spends most of its time in a low-volatility phase and a high-volatility phase. The former can be roughly associated with economic expansion, while the latter contains the economic contraction phase in the standard economic cycle. Both phases are interrupted by a moderate-volatility market correction phase, but extremely-high-volatility market crashes are found mostly within the high-volatility phase. From the temporal distribution of various phases, we see a high-volatility phase from mid-1998 to mid-2003, and another starting mid-2007 (the current global financial crisis). Transitions from the low-volatility phase to the high-volatility phase are preceded by a series of precursor shocks, whereas the transition from the high-volatility phase to the low-volatility phase is preceded by a series of inverted shocks. The time scale for both types of transitions is about a year. We also identify the July 1997 Asian Financial Crisis to be the trigger for the mid-1998 transition, and an unnamed May 2006 market event related to corrections in the Chinese markets to be the trigger for the mid-2007 transition. |
| Starting Page | 4635 |
| Ending Page | 4645 |
| Page Count | 11 |
| File Format | PDF HTM / HTML |
| DOI | 10.1016/j.physa.2009.07.029 |
| Volume Number | 388 |
| Alternate Webpage(s) | https://dr.ntu.edu.sg/bitstream/handle/10220/6107/Wong2009PhysicaA388p4635.pdf;jsessionid=4D14B3A8AEABD7B7673F8E92274BB5B6?sequence=1 |
| Alternate Webpage(s) | https://dr.ntu.edu.sg/bitstream/handle/10220/6107/Wong2009PhysicaA388p4635.pdf;jsessionid=707065E5B18495A67D701CB137152910?sequence=1 |
| Alternate Webpage(s) | https://dr.ntu.edu.sg/bitstream/handle/10220/6107/Wong2009PhysicaA388p4635.pdf?isAllowed=y&sequence=1 |
| Alternate Webpage(s) | http://www.complexity.ntu.edu.sg/publications/Documents/Publications/Siew-Detecting.pdf |
| Alternate Webpage(s) | https://doi.org/10.1016/j.physa.2009.07.029 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
