This paper tests for structural changes in the duration of bull regimes in 18 developed and emerging economies’ adjusted market capitalization stock indexes, by using the novel approach of Nicolau (Econ Lett 146:64–67, 2016) as well as two additional new procedures introduced here; and investigates whether the structural changes detected in the bull markets’ duration are connected to the business cycle. We conclude that changes in the duration of bull market regimes seem to precede periods of economic recession. The results provide statistically significant evidence that decreases in bull markets’ duration do not occur independently from economic crises, as 13 out of the 18 markets considered in our sample verify such decreases at least 12 months prior to the occurrence of an economic crisis. Additionally, these structural changes seem to affect smaller companies first, and then the larger ones. The association between decreases in the bull market regimes’ duration and economic crises is possibly a consequence of financial markets’ leading behavior over the economy. These structural changes may serve as proxies for decreasing confidence in financial markets, which naturally affects economic stability.

中文翻译：

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牛市持续时间的结构性变化和商业周期动态

本文通过使用 Nicolau (Econ Lett 146:64–67, 2016) 的新方法以及两个额外的新程序，测试了 18 个发达和新兴经济体调整后市值股票指数牛市持续时间的结构性变化这里介绍；并调查在牛市持续时间中检测到的结构性变化是否与商业周期有关。我们得出结论，牛市制度持续时间的变化似乎先于经济衰退时期。结果提供了统计上显着的证据，表明牛市持续时间的减少并非独立于经济危机而发生，因为我们样本中考虑的 18 个市场中有 13 个在经济危机发生前至少 12 个月证实了这种减少。此外，这些结构性变化似乎首先影响小公司，然后是大公司。牛市制度持续时间的缩短与经济危机之间的关联可能是金融市场对经济的主导行为的结果。这些结构性变化可能会降低对金融市场的信心，这自然会影响经济稳定性。