search query: @indexterm AUTOCORRELATION / total: 12
reference: 2 / 12
| Author: | Ratner, M. Leal, R.P.C. |
| Title: | Cross-autocorrelation in the Brazilian equity market before and after financial liberalization |
| Journal: | Latin American business review
2003 : VOL. 4:1, p. 41-60 |
| Index terms: | Autocorrelation Liberalization Market efficiency Stock markets Trading volumes Brazil |
| Language: | eng |
| Abstract: | In this paper, cross-autocorrelation is studied in the Brazilian equity market before and after the effect of its financial liberalization. The sample consists of daily data from Jan 1986 through Dec 1999. Granger-causality and trading volume are used to test differences in size-based portfolios. The results confirm that large portfolio returns lead small stock portfolio returns, but the lagged response of small stock portfolio returns response of small stock portfolio returns diminish following financial liberalization. |
SCIMA