Keywords
return autocorrelation
emerging markets
non-trading periods
emerging markets
non-trading periods
How to Cite
Kristjanpoller Rodríguez, W. (2013). Return autocorrelation anomalies and the importance of non-trading periods in the Latin Americans stocks markets. Accounting & Management, 58(1). https://doi.org/10.1016/S0186-1042(13)71197-5
Abstract
This paper aims to determine the evidence of returns autocorrelation for the main Latin American stock markets, and the influence of the day of the week effect on this phenomenon. Also, we analyze the importance of non-trading periods and their incidence on stock markets returns. We determine a high autocorrelation in most of the stock markets analyzed, both in local and global currency and the day-of-the-week effect on only some of the stock markets. Evidence of correlation between trading periods returns and those of non-trading periods is also found.© 2015, School of Accounting and Management, National Autonomous University of Mexico. All rights reserved. Publication of the article implies full assignment of property rights (copyright) in Journal of Accounting and Management. The publication mreserves the right to total or partial reproduction of the work in other print, electronic or any other alternative means, but always recognizing its responsibility.
Unless otherwise stated, all contents of the electronic edition of the journal are distributed under a license and distribution "Creative Commons Attribution-Noncommercial 4.0 International" (CC-by). You can see from here the version of the license information. This circumstance must be expressly stated in this way when necessary.
Downloads
Download data is not yet available.