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Return Autocorrelation Anomalies in Two European Stock MarketsAbstract: 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.
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