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

โœ Scribed by Daniel O. Cajueiro; Benjamin M. Tabak; Nathalia A. Souza


Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
198 KB
Volume
351
Category
Article
ISSN
0378-4371

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โœฆ Synopsis


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.


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