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Force-majeure events and financial market’s behavior

Author

Listed:
  • Plastun, Alex
  • Plastun, Vyacheslav

Abstract

Efficient market hypothesis fails from time to time. There are many reasons why it happens. We will try to concentrate on one of them – force-majeure events – situations when something important happens unexpectedly. In this case market simply can’t absorb information in one moment. So for some period of time it becomes inefficient and stays inefficient until new information will not be included by the market. Such situations give us possibility to predict the market’s behavior. This is our intuitive assumption. To confirm or refuse it we will analyze the reaction of financial markets to the biggest force-majeure events during last 20 years. Also we will try to develop a trading strategy based on financial market’s reaction to force- majeure events.

Suggested Citation

  • Plastun, Alex & Plastun, Vyacheslav, 2013. "Force-majeure events and financial market’s behavior," MPRA Paper 58975, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:58975
    as

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    References listed on IDEAS

    as
    1. Peter Fortune, 1991. "Stock market efficiency: an autopsy?," New England Economic Review, Federal Reserve Bank of Boston, issue Mar, pages 17-40.
    2. Fama, Eugene F., 1998. "Market efficiency, long-term returns, and behavioral finance," Journal of Financial Economics, Elsevier, vol. 49(3), pages 283-306, September.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    financial market; force-majeure event; financial market’s efficiency; events study;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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