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

Dumitriu, Ramona and Stefanescu, Razvan and Nistor, Costel (2012): Reactions of the capital markets to the shocks before and during the global crisis. Published in: Vanguard Scientific Instruments in Management, , Vol. 1(5)/2, (19 February 2012): pp. 32-49.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Efficient Markets, Underreaction, Overreaction, Global Crisis
• 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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