TY - JOUR AU - García Blandón, José PY - 1969/12/31 Y2 - 2024/03/28 TI - Return Autocorrelation Anomalies in Two European Stock Markets JF - Economic Analysis Review JA - Rev. anal. econ. VL - 22 IS - 1 SE - Articles DO - UR - https://www.rae-ear.org/index.php/rae/article/view/67 SP - 59-70 AB - 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. ER -