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

Ramona Dumitriu, Razvan Stefanescu and Costel Nistor

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Efficient Markets; Underreaction; Overreaction; Global Crisis (search for similar items in EconPapers)
JEL-codes: G01 G14 (search for similar items in EconPapers)
Date: 2012-01-10, Revised 2012-01-10
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:41540

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