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 marke
โฆ LIBER โฆ
Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions
โ Scribed by Daniel O. Cajueiro; Benjamin M. Tabak
- Publisher
- Elsevier Science
- Year
- 2004
- Tongue
- English
- Weight
- 243 KB
- Volume
- 342
- Category
- Article
- ISSN
- 0378-4371
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