This paper investigates the relationship between capital markets and the frequency and duration of recession. The main finding is that the frequency of recession is not robustly linked to measures of the capital market development. On the other hand, the time the economy spends in recession is significantly related to the capital market development, though the marginal effect is small. The implication is that countries with more advanced capital markets tend to spend a lower proportion of time in recession. Results are generated using quarterly data of 35 countries from 1975 to 2004.