EconPapers    
Economics at your fingertips  
 

Return autocorrelation anomalies in two European stock markets

Jose Garcia Blandon ()
Additional contact information
Jose Garcia Blandon: Universitat Ramo Llull

Revista de Analisis Economico – Economic Analysis Review, 2007, vol. 22, issue 1, 59-70

Abstract: 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)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
http://www.rae-ear.org/index.php/rae/article/view/67 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ila:anaeco:v:22:y:2007:i:1:p:59-70

Ordering information: This journal article can be ordered from

Access Statistics for this article

Revista de Analisis Economico – Economic Analysis Review is currently edited by Carlos Ponce

More articles in Revista de Analisis Economico – Economic Analysis Review from Universidad Alberto Hurtado/School of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by Mauricio Tejada ().

 
Page updated 2020-11-29
Handle: RePEc:ila:anaeco:v:22:y:2007:i:1:p:59-70