%0 Journal Article
%T Return Autocorrelation Anomalies in Two European Stock Markets
%A Jos£¿£¿ Garc£¿-a Bland£¿3n
%J Revista de An¨¢lisis Econ¨®mico (RAE)
%D 2007
%I Georgetown University, Universidad Alberto Hurtado
%X 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.
%U http://www.rae-ear.org/index.php/rae/article/view/67