英文摘要 |
This paper investigates the predictability of U.S. bear markets using the volatility of stock return. Based on non-parametric Pagan-Sossounov (2003) approach for identifying bear markets and realized volatility, we find the volatility of stock market contain useful information about future bear market. Moreover, we find the high volatility will induce bear market. This variable also performs very well for out-of-sample examination. For robustness test, we examine the subsample, autocorrelations, with other predictors, and other definition of bear markets. We find the main results are also maintained. |