Return autocorrelation anomalies in two European stock markets

• Autores: Josep García Blandón
• Localización: Revista de análisis económico, ISSN-e 0718-8870, ISSN 0716-5927, Vol. 22, Nº 1, 2007, págs. 59-70
• Idioma: inglés
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• Resumen

  • 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