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Market closures and time-varying volatility in the Australian equity market

โœ Scribed by Timothy J Brailsford

Book ID
116161712
Publisher
Elsevier Science
Year
1995
Tongue
English
Weight
383 KB
Volume
2
Category
Article
ISSN
0927-5398

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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