Short Term Momentum and Contrarian Profits on the Bucharest Stock Exchange Before and During the Global Crisis

10 Pages Posted: 26 Sep 2012

See all articles by Razvan Stefanescu

Razvan Stefanescu

University Dunarea De Jos Galati

Ramona Dumitriu

University Dunarea De Jos Galati

Costel Nistor

University Dunarea De Jos Galati

Date Written: September 24, 2012

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 turbulences 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.

Keywords: overreaction hypothesis, underreaction hypothesis, efficient market hypothesis, investment strategies

JEL Classification: G01, G02, G14

Suggested Citation

Stefanescu, Razvan and Dumitriu, Ramona and Nistor, Costel, Short Term Momentum and Contrarian Profits on the Bucharest Stock Exchange Before and During the Global Crisis (September 24, 2012). Available at SSRN: https://ssrn.com/abstract=2151774 or http://dx.doi.org/10.2139/ssrn.2151774

Razvan Stefanescu (Contact Author)

University Dunarea De Jos Galati ( email )

Str. Domnească, nr. 47
Galati, 800008
Romania

Ramona Dumitriu

University Dunarea De Jos Galati ( email )

Romania

Costel Nistor

University Dunarea De Jos Galati ( email )

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
54
Abstract Views
436
rank
394,000
PlumX Metrics