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Periodic market closures and the long-range dependence phenomena in the Brazilian equity market

  • Cajueiro, Daniel O.
  • Tabak, Benjamin M.
  • Souza, Nathalia A.

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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File URL: http://www.sciencedirect.com/science/article/pii/S0378437104015675
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Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 351 (2005)
Issue (Month): 2 ()
Pages: 512-522

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Handle: RePEc:eee:phsmap:v:351:y:2005:i:2:p:512-522
Contact details of provider: Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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  1. 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.
  2. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
  3. Brock, William A. & Kleidon, Allan W., 1992. "Periodic market closure and trading volume : A model of intraday bids and asks," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 451-489.
  4. Stoll, Hans R & Whaley, Robert E, 1990. "Stock Market Structure and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 37-71.
  5. K.C. Chan & Wai-Ming Fong & Rene M. Stulz, 1994. "Information, Trading and Stock Returns: Lessons from Dually-Listed Securities," NBER Working Papers 4743, National Bureau of Economic Research, Inc.
  6. 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.
  7. Gerety, Mason S & Mulherin, J Harold, 1994. "Price Formation on Stock Exchanges: The Evolution of Trading within the Day," Review of Financial Studies, Society for Financial Studies, vol. 7(3), pages 609-29.
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