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

被引：9

作者：

Cajueiro, DO

Tabak, BM

Souza, NA

机构：

[1] Univ Catolica Brasilia, Mestrado Econ Empresas, SGAN 916, BR-70790160 Asa Norte, DF, Brazil

[2] Banco Cent Brasil, DEPED, SBS, BR-70074900 Brasilia, DF, Brazil

[3] Univ Brasilia, BR-70910900 Brasilia, DF, Brazil

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2005年 / 351卷 / 2-4期

关键词：

long-range dependence; market microstructure; emerging equity markets; local whittle; market closures;

D O I：

10.1016/j.physa.2004.12.021

中图分类号：

O4 [物理学];

学科分类号：

0702 [物理学];

摘要：

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. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：512 / 522

页数：11

共 12 条

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AMIHUD Y, 1987, J FINANC, V42, P533

[2]

VOLATILITY, EFFICIENCY, AND TRADING - EVIDENCE FROM THE JAPANESE STOCK-MARKET [J].