A Comparative Study On The Stock Cycle In Emerging Market And Developed Market

The cycle characteristics and concordance of emerging markets and developed markets show significant difference because of the big gap in macroeconomic situation,transaction rules,the degree of openness of capital markets and investor composition.But as the advance of world economic integration,financial integration and the transaction rules,some new change happens to the cycle of emerging markets and developed markets.In this paper we first use the adjusted Pagan cycle identifying method to identify the cycle of ten main stock markets.Then we study the cycle characteristics and concordance of the markets.Our sample includes four main emerging markets namely China,India,Brazil,Russia and six main developed markets namely America,UK,France,Germany,Janpan,HK.The data range from Oct 1996 to Oct 2016.The empirical results show that the charateristics of emerging markets is markedly different from developped markets and the emerging markets show some unstable.Specifically,the rise in bull market is significantly higher in emerging markets than in developped markets,the duration of bull market and bear market is significantly shorter in emerging markets than in developped markets,the rising speed of bull market and falling speed in bear market is significantly higher in emerging markets than in developped markets.It means that the 'fast bull and fast bear'phenomenon and 'quick rise and quick down' phenomenon is presented in emerging markets.Besides,the cycle concordance in developped markets especially in Europe and America markets is stronger than emerging market.The cycle concordance in emerging markets shows a negetive relationship in the last few years.After the erruption of sub-prime crisis in the US,the cycle concordance will be intensified in most markets.In the post-crisis period the cycle concordance between China stock market and Hongkong stock market stand at a high level.