Hot and Cold Markets in the Paris Stock Exchange During Interwar Period

Abstract

In this article, we display the successive hot and cold markets for the seasoned issues of common stocks for firms listed on the official Paris Stock Exchange market during the interwar period. To this end, we apply the Markov Switching Model of Hamilton [1989] usually used to detect growth cycles. A series of 1200 stock issues coming from our new stock exchange data base from 1919 to 1939. Lastly using arguments from the recent literature, statistical macro-economic and financial market indicators we show that our econometric division in the financial market cycle of the interwar period is pertinent from an economic point of view.