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Reactions of the capital markets to the shocks before and during the global crisis

Author

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

Abstract

This paper explores reactions to the stock markets shocks during quiet and turbulent times. In our investigation we use daily values of 28 stock exchanges indexes: 14 from developed markets and 14 from emerging markets. We find the global crisis induced, for most of the indexes, significant changes in the reactions to the shocks. The results also indicate different behaviors of indexes from developed markets in comparison with the indexes from emerging markets.

Suggested Citation

  • 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.
  • Handle: RePEc:pra:mprapa:41540
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    File URL: https://mpra.ub.uni-muenchen.de/41540/1/MPRA_paper_41540.pdf
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    References listed on IDEAS

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    Cited by:

    1. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2012. "Short term momentum and contrarian profits on the Bucharest Stock Exchange before and during the global crisis," MPRA Paper 42510, University Library of Munich, Germany, revised 18 Sep 2012.

    More about this item

    Keywords

    Efficient Markets; Underreaction; Overreaction; Global Crisis;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G01 - Financial Economics - - General - - - Financial Crises

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