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Short term momentum and contrarian profits on the Bucharest Stock Exchange before and during the global crisis

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  • Stefanescu, Razvan
  • Dumitriu, Ramona
  • Nistor, Costel

Abstract

This paper explores the opportunities of momentum and contrarian profits on the Bucharest Stock Exchange during quiet and turbulent times. In our investigation we employ daily values of the main indexes from the Bucharest Stock Exchange for two periods of time. During the first period, from January 2005 to September 2008, the Romanian capital market was relatively quiet and it experienced an ascendant trend. In the second period, from September 2008 to March 2012, the global crisis induced significant turbulence on the financial markets. We analyze the opportunities of momentum and contrarian profits based on the reactions to positive and negative shocks of the indexes returns. We find that global crises induced significant changes on the investors’ behavior.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 42510.

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Date of creation: 18 Sep 2012
Date of revision: 18 Sep 2012
Handle: RePEc:pra:mprapa:42510

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Keywords: Overreaction Hypothesis; Underreaction Hypothesis; Efficient Market Hypothesis; Investment Strategies;

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  1. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
  2. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2012. "Overreaction and underreaction on the BUCHAREST STOCK EXCHANGE," MPRA Paper 41555, University Library of Munich, Germany, revised 25 Sep 2012.
  3. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
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  10. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2012. "Reactions of the capital markets to the shocks before and during the global crisis," MPRA Paper 41540, University Library of Munich, Germany, revised 10 Jan 2012.
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