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

Detalhes bibliográficos
Autor(a) principal: Cajueiro, Daniel
Data de Publicação: 2005
Outros Autores: Tabak, Benjamin, Souza, Nathalia
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UCB
Texto Completo: http://twingo.ucb.br:8080/jspui/handle/10869/711
https://repositorio.ucb.br:9443/jspui/handle/123456789/7891
Resumo: 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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spelling Cajueiro, DanielTabak, BenjaminSouza, Nathalia2016-10-10T03:53:00Z2016-10-10T03:53:00Z2005-01-06CAJUEIRO, Daniel; TABAK, Benjamin; SOUZA Nathalia. Periodic market closures and the long-range dependence phenomena in the Brazilian equity market. Physica A: statistical mechanics and its applications, v. 351, n. 2, p. 512-522, 2005.http://twingo.ucb.br:8080/jspui/handle/10869/711https://repositorio.ucb.br:9443/jspui/handle/123456789/7891This 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.Made available in DSpace on 2016-10-10T03:53:00Z (GMT). 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dc.title.pt_BR.fl_str_mv Periodic market closures and the long-range dependence phenomena in the Brazilian equity market
title Periodic market closures and the long-range dependence phenomena in the Brazilian equity market
spellingShingle Periodic market closures and the long-range dependence phenomena in the Brazilian equity market
Cajueiro, Daniel
Long-range dependence
Market microstructure
Emerging equity markets
Local Whittle
Market closures
title_short Periodic market closures and the long-range dependence phenomena in the Brazilian equity market
title_full Periodic market closures and the long-range dependence phenomena in the Brazilian equity market
title_fullStr Periodic market closures and the long-range dependence phenomena in the Brazilian equity market
title_full_unstemmed Periodic market closures and the long-range dependence phenomena in the Brazilian equity market
title_sort Periodic market closures and the long-range dependence phenomena in the Brazilian equity market
author Cajueiro, Daniel
author_facet Cajueiro, Daniel
Tabak, Benjamin
Souza, Nathalia
author_role author
author2 Tabak, Benjamin
Souza, Nathalia
author2_role author
author
dc.contributor.author.fl_str_mv Cajueiro, Daniel
Tabak, Benjamin
Souza, Nathalia
dc.subject.por.fl_str_mv Long-range dependence
Market microstructure
Emerging equity markets
Local Whittle
Market closures
topic Long-range dependence
Market microstructure
Emerging equity markets
Local Whittle
Market closures
dc.description.abstract.por.fl_txt_mv 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.
dc.description.version.pt_BR.fl_txt_mv Sim
dc.description.status.pt_BR.fl_txt_mv Publicado
description 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.
publishDate 2005
dc.date.issued.fl_str_mv 2005-01-06
dc.date.accessioned.fl_str_mv 2016-10-10T03:53:00Z
dc.date.available.fl_str_mv 2016-10-10T03:53:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
status_str publishedVersion
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dc.identifier.citation.fl_str_mv CAJUEIRO, Daniel; TABAK, Benjamin; SOUZA Nathalia. Periodic market closures and the long-range dependence phenomena in the Brazilian equity market. Physica A: statistical mechanics and its applications, v. 351, n. 2, p. 512-522, 2005.
dc.identifier.uri.fl_str_mv http://twingo.ucb.br:8080/jspui/handle/10869/711
https://repositorio.ucb.br:9443/jspui/handle/123456789/7891
identifier_str_mv CAJUEIRO, Daniel; TABAK, Benjamin; SOUZA Nathalia. Periodic market closures and the long-range dependence phenomena in the Brazilian equity market. Physica A: statistical mechanics and its applications, v. 351, n. 2, p. 512-522, 2005.
url http://twingo.ucb.br:8080/jspui/handle/10869/711
https://repositorio.ucb.br:9443/jspui/handle/123456789/7891
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