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Type: Relatório
Title: The effect of financial liberalization on cross-autocorrelation in the brazilian equit market
Author(s)/Inventor(s): Ratner, Mitchell
Leal, Ricardo Pereira Câmara
Abstract: Indisponível.
Abstract: This study examines the effect of financial liberalization on crossautocorrelation in the Brazilian equity market. The sample consists of daily data from January 1986 through December 1999. Prior studies have found conflicting evidence of crossautocorrelation in U.S. data. Differences in size-based portfolios are tested through correlation, cross-autocorrelation, Grangercausality, asymmetric responses, and trading volume. The results confirm that large stock portfolio returns lead small stock portfolio returns, but the lagged response of small stock portfolio returns diminish following financial liberalization.
Keywords: Finanças
Mercado financeiro
Working paper
Production unit: Instituto COPPEAD de Administração
Publisher: Universidade Federal do Rio de Janeiro
In: Relatórios COPPEAD
Issue: 353
Issue Date: 2001
Publisher country: Brasil
Language: eng
Right access: Acesso Aberto
ISBN: 8575080342
ISSN: 1518-3335
Citation: RATNER, Mitchell; LEAL, Ricardo Pereira Câmara. The effect of financial liberalization on cross-autocorrelation in the brazilian equit market. Rio de Janeiro: UFRJ, 2001. 18 p. (Relatórios COPPEAD, 353).
Appears in Collections:Relatórios

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