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Possible causes of long-range dependence in the Brazilian stock market

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

Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
205 KB
Volume
345
Category
Article
ISSN
0378-4371

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๐Ÿ“œ SIMILAR VOLUMES

Periodic market closures and the long-ra
Periodic market closures and the long-range dependence phenomena in the Brazilian equity market
โœ Daniel O. Cajueiro; Benjamin M. Tabak; Nathalia A. Souza ๐Ÿ“‚ Article ๐Ÿ“… 2005 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 198 KB

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