The effect of financial liberalization on cross-autocorrelation in the brazilian equit market

Detalhes bibliográficos
Autor(a) principal: Ratner, Mitchell
Data de Publicação: 2001
Outros Autores: Leal, Ricardo Pereira Câmara
Tipo de documento: Relatório
Idioma: eng
Título da fonte: Repositório Institucional da UFRJ
Texto Completo: http://hdl.handle.net/11422/9243
Resumo: This study examines the effect of financial liberalization on crossautocorrelation in the Brazilian equity market. The sample consists of daily data from January 1986 through December 1999. Prior studies have found conflicting evidence of crossautocorrelation in U.S. data. Differences in size-based portfolios are tested through correlation, cross-autocorrelation, Grangercausality, asymmetric responses, and trading volume. The results confirm that large stock portfolio returns lead small stock portfolio returns, but the lagged response of small stock portfolio returns diminish following financial liberalization.
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spelling The effect of financial liberalization on cross-autocorrelation in the brazilian equit marketFinançasMercado financeiroBrasilWorking paperCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAOThis study examines the effect of financial liberalization on crossautocorrelation in the Brazilian equity market. The sample consists of daily data from January 1986 through December 1999. Prior studies have found conflicting evidence of crossautocorrelation in U.S. data. Differences in size-based portfolios are tested through correlation, cross-autocorrelation, Grangercausality, asymmetric responses, and trading volume. The results confirm that large stock portfolio returns lead small stock portfolio returns, but the lagged response of small stock portfolio returns diminish following financial liberalization.Indisponível.Universidade Federal do Rio de JaneiroBrasilInstituto COPPEAD de AdministraçãoUFRJ2019-08-29T16:21:04Z2023-12-21T03:00:33Z2001info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/reportRATNER, Mitchell; LEAL, Ricardo Pereira Câmara. The effect of financial liberalization on cross-autocorrelation in the brazilian equit market. Rio de Janeiro: UFRJ, 2001. 18 p. (Relatórios COPPEAD, 353).85750803421518-3335http://hdl.handle.net/11422/9243engRelatórios COPPEADRatner, MitchellLeal, Ricardo Pereira Câmarainfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFRJinstname:Universidade Federal do Rio de Janeiro (UFRJ)instacron:UFRJ2023-12-21T03:00:33Zoai:pantheon.ufrj.br:11422/9243Repositório InstitucionalPUBhttp://www.pantheon.ufrj.br/oai/requestpantheon@sibi.ufrj.bropendoar:2023-12-21T03:00:33Repositório Institucional da UFRJ - Universidade Federal do Rio de Janeiro (UFRJ)false
dc.title.none.fl_str_mv The effect of financial liberalization on cross-autocorrelation in the brazilian equit market
title The effect of financial liberalization on cross-autocorrelation in the brazilian equit market
spellingShingle The effect of financial liberalization on cross-autocorrelation in the brazilian equit market
Ratner, Mitchell
Finanças
Mercado financeiro
Brasil
Working paper
CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
title_short The effect of financial liberalization on cross-autocorrelation in the brazilian equit market
title_full The effect of financial liberalization on cross-autocorrelation in the brazilian equit market
title_fullStr The effect of financial liberalization on cross-autocorrelation in the brazilian equit market
title_full_unstemmed The effect of financial liberalization on cross-autocorrelation in the brazilian equit market
title_sort The effect of financial liberalization on cross-autocorrelation in the brazilian equit market
author Ratner, Mitchell
author_facet Ratner, Mitchell
Leal, Ricardo Pereira Câmara
author_role author
author2 Leal, Ricardo Pereira Câmara
author2_role author
dc.contributor.author.fl_str_mv Ratner, Mitchell
Leal, Ricardo Pereira Câmara
dc.subject.por.fl_str_mv Finanças
Mercado financeiro
Brasil
Working paper
CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
topic Finanças
Mercado financeiro
Brasil
Working paper
CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
description This study examines the effect of financial liberalization on crossautocorrelation in the Brazilian equity market. The sample consists of daily data from January 1986 through December 1999. Prior studies have found conflicting evidence of crossautocorrelation in U.S. data. Differences in size-based portfolios are tested through correlation, cross-autocorrelation, Grangercausality, asymmetric responses, and trading volume. The results confirm that large stock portfolio returns lead small stock portfolio returns, but the lagged response of small stock portfolio returns diminish following financial liberalization.
publishDate 2001
dc.date.none.fl_str_mv 2001
2019-08-29T16:21:04Z
2023-12-21T03:00:33Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/report
format report
status_str publishedVersion
dc.identifier.uri.fl_str_mv RATNER, Mitchell; LEAL, Ricardo Pereira Câmara. The effect of financial liberalization on cross-autocorrelation in the brazilian equit market. Rio de Janeiro: UFRJ, 2001. 18 p. (Relatórios COPPEAD, 353).
8575080342
1518-3335
http://hdl.handle.net/11422/9243
identifier_str_mv RATNER, Mitchell; LEAL, Ricardo Pereira Câmara. The effect of financial liberalization on cross-autocorrelation in the brazilian equit market. Rio de Janeiro: UFRJ, 2001. 18 p. (Relatórios COPPEAD, 353).
8575080342
1518-3335
url http://hdl.handle.net/11422/9243
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Relatórios COPPEAD
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Universidade Federal do Rio de Janeiro
Brasil
Instituto COPPEAD de Administração
UFRJ
publisher.none.fl_str_mv Universidade Federal do Rio de Janeiro
Brasil
Instituto COPPEAD de Administração
UFRJ
dc.source.none.fl_str_mv reponame:Repositório Institucional da UFRJ
instname:Universidade Federal do Rio de Janeiro (UFRJ)
instacron:UFRJ
instname_str Universidade Federal do Rio de Janeiro (UFRJ)
instacron_str UFRJ
institution UFRJ
reponame_str Repositório Institucional da UFRJ
collection Repositório Institucional da UFRJ
repository.name.fl_str_mv Repositório Institucional da UFRJ - Universidade Federal do Rio de Janeiro (UFRJ)
repository.mail.fl_str_mv pantheon@sibi.ufrj.br
_version_ 1815455994355908608

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