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- W3122081820 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" @default.
- W3122081820 created "2021-02-01" @default.
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- W3122081820 date "2007-01-01" @default.
- W3122081820 modified "2023-09-26" @default.
- W3122081820 title "Return autocorrelation anomalies in two European stock markets" @default.
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