Return autocorrelation anomalies in two European stock markets
Jose Garcia Blandon ()
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Jose Garcia Blandon: Universitat Ramo Llull
Revista de Analisis Economico – Economic Analysis Review, 2007, vol. 22, issue 1, 59-70
The autocorrelation in stock returns is one of the most important anomalies in financial markets worldwide. In this paper, we have investigated differences in return autocorrelation on a day-to-day basis in the Spanish and French stock markets. Our research provides strong evidence of the importance of non-trading periods, not only weekends and holidays but also overnight closings, to explain return autocorrelation anomalies. While close-to-close stock returns are highly autocorrelated, specially on Mondays, when we compute daily returns on an open-to-close basis they do not exhibit a significant level of autocorrelation.
Keywords: Return Autocorrelation; Stock Market Anomalies; Non-trading Periods (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ila:anaeco:v:22:y:2007:i:1:p:59-70
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