کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9727782 | 1480209 | 2005 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Periodic market closures and the long-range dependence phenomena in the Brazilian equity market
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 351, Issues 2â4, 15 June 2005, Pages 512-522
Journal: Physica A: Statistical Mechanics and its Applications - Volume 351, Issues 2â4, 15 June 2005, Pages 512-522
نویسندگان
Daniel O. Cajueiro, Benjamin M. Tabak, Nathalia A. Souza,