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

Author

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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.

Suggested Citation

  • 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.
  • Handle: RePEc:pra:mprapa:42510
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    File URL: https://mpra.ub.uni-muenchen.de/42510/1/MPRA_paper_42510.pdf
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    References listed on IDEAS

    as
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    3. 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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    12. Antonios Antoniou & Emilios C. Galariotis & Spyros I. Spyrou, 2006. "Short-term Contrarian Strategies in the London Stock Exchange: Are They Profitable? Which Factors Affect Them?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(5-6), pages 839-867.
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    Cited by:

    1. Razvan Stefanescu & Ramona Dumitriu, 2016. "Contrarian and Momentum Profits during Periods of High Trading Volume preceded by Stock Prices Shocks," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 378-384.

    More about this item

    Keywords

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

    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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