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

Stefanescu, Razvan and Dumitriu, Ramona and Nistor, Costel (2012): Short term momentum and contrarian profits on the Bucharest Stock Exchange before and during the global crisis. Published in: • Proceedings of the 2nd International Conference on Business Administration and Economics ”People. Ideas. Experience”, October 25-26, 2012, Reşiţa (22 October 2012): pp. 367-377.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Overreaction Hypothesis, Underreaction Hypothesis, Efficient Market Hypothesis, Investment Strategies
• Subjects: G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; G - Financial Economics > G0 - General > G01 - Financial Crises

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