Return Autocorrelation Anomalies in Two European Stock Markets

Authors

Keywords:

return autocorrelation, stock market anomalies, non-trading periods, market efficiency, Europe

Abstract

The autocorrelation in stock returns is one of the most important anomalies in financial markets worldwide. In this paper, we have investigated differences in return autocorrelation on a day-to-day basis in the Spanish and French stock markets. Our research provides strong evidence of the importance of non-trading periods, not only weekends and holidays but also overnight closings, to explain return autocorrelation anomalies. While close-to-close stock returns are highly autocorrelated, specially on Mondays, when we compute daily returns on an open-to-close basis they do not exhibit a significant level of autocorrelation.

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References

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Published

2007-04-30

How to Cite

García Blandón, J. (2007). Return Autocorrelation Anomalies in Two European Stock Markets. Economic Analysis Review, 22(1), 59–70. Retrieved from https://www.rae-ear.org/index.php/rae/article/view/67

Issue

Vol. 22 No. 1 (2007)

Section

Articles

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Copyright (c) 2007 José García Blandón

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