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Return autocorrelation anomalies in two European stock markets

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  • Jose Garcia Blandon

    (Universitat Ramo Llull)

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.

Suggested Citation

  • Jose Garcia Blandon, 2007. "Return autocorrelation anomalies in two European stock markets," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 22(1), pages 59-70, June.
    • Handle: RePEc:ila:anaeco:v:22:y:2007:i:1:p:59-70
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    References listed on IDEAS

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    Cited by:

    1. Majumder, Debasish, 2012. "When the market becomes inefficient: Comparing BRIC markets with markets in the USA," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 84-92.
    2. KUDRYAVTSEV Andrey, 2012. "Early To Rise: When Opening Stock Returns Are Higher Than Daily Returns?," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 7(3), pages 58-73, December.
    3. Andrey KUDRYAVTSEV, 2013. "Mechanism Of Autocorrelations Of Individual Stocks' Opening Returns," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 12, pages 37-56, June.
    4. Majumder, Debasish, 2013. "Towards an efficient stock market: Empirical evidence from the Indian market," Journal of Policy Modeling, Elsevier, vol. 35(4), pages 572-587.
    5. Andrey Kudryavtsev, 2013. "Think About Tomorrow Morning: Opening Stock Returns May Show Reversals," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 16(50), pages 51-64, December.

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    More about this item

    Keywords

    Return Autocorrelation; Stock Market Anomalies; Non-trading Periods;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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