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This study investigates the duration dependence of Tunisian stock market over the period from January 07, 1998 to March 29, 2013; using two-state Duration Markov-switching model. Through this model, duration dependence is emphasized in the conditional mean return, volatility, risk-return trade-off and transition probabilities. We demonstrate that TUNINDEX index weekly returns can be sorted into bull and bear market states. Our results are consistent with mean reversion process; i.e. mean reversion is the tendency of asset prices to return to a trend path. Finally, we conclude that Tunisian stock market fluctuations can be characterized by the presence of the countercyclical return volatility due to the asymmetric movements of the risk premia.

Duration Dependence And Mean Reversion : An Attempt Of Identification In Tunisian Stock Market