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Stocks and shocks

Bert Scholtens & Marélie Steensma

PSL Quarterly Review2012article
AJG 1
Weight
0.26

What the paper says

How do stock markets respond to extreme events? This paper analyzes the reaction of stock markets in four industrialized economies (Italy, the Netherlands, Sweden, the US) to ten major international crises. We employ an event study to investigate whether the stock exchanges react differently with respect to extreme events such as the Chernobyl nuclear power plant meltdown, the Gulf War, the peso crisis, the Kosovo War or the 11/9 attack on the US. There is no substantial evidence that markets react differently to extreme events than to more ordinary news. We have significant evidence that there is no standard reaction of stock markets to extreme events. JEL Codes: G12, G14, G15 Keywords: Stock Market, Stocks

1 citation

Cite this paper

@article{bert2012,
  title        = {{Stocks and shocks}},
  author       = {Bert Scholtens & Marélie Steensma},
  journal      = {PSL Quarterly Review},
  year         = {2012},
}

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Evidence weight

0.26

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.20 × 0.15 = 0.03
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.