Periodic market closures and the long-range dependence phenomena in the Brazilian equity market
This paper presents new empirical evidence of the effect of periodic market closures in financial markets which is not available in the literature yet. In particular, employing closing and opening prices, we have found that the intensity of the long-range dependence phenomena presented in this market depends on the time of the day that this phenomena is measured. This kind of pattern seems to be related to trading performed by different types of investors and the flow of information over the day.
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Volume (Year): 351 (2005)
Issue (Month): 2 ()
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- Chan, K. C. & Fong, Wai-Ming & Kho, Bong-Chan & Stulz, ReneM., 1996.
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- Harrison Hong & Jiang Wang, 2000. "Trading and Returns under Periodic Market Closures," Journal of Finance, American Finance Association, vol. 55(1), pages 297-354, 02.
- Slezak, Steve L, 1994. " A Theory of the Dynamics of Security Returns around Market Closures," Journal of Finance, American Finance Association, vol. 49(4), pages 1163-1211, September.
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