Please use this identifier to cite or link to this item: http://hdl.handle.net/11422/9243
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dc.contributor.authorRatner, Mitchell-
dc.contributor.authorLeal, Ricardo Pereira Câmara-
dc.date.accessioned2019-08-29T16:21:04Z-
dc.date.available2019-08-31T03:00:24Z-
dc.date.issued2001-
dc.identifier.citationRATNER, 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).pt_BR
dc.identifier.isbn8575080342pt_BR
dc.identifier.issn1518-3335pt_BR
dc.identifier.urihttp://hdl.handle.net/11422/9243-
dc.description.abstractThis 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.en
dc.languageengpt_BR
dc.publisherUniversidade Federal do Rio de Janeiropt_BR
dc.relation.ispartofRelatórios COPPEADpt_BR
dc.rightsAcesso Abertopt_BR
dc.subjectFinançaspt_BR
dc.subjectMercado financeiropt_BR
dc.subjectBrasilpt_BR
dc.subjectWorking paperen
dc.titleThe effect of financial liberalization on cross-autocorrelation in the brazilian equit marketen
dc.typeRelatóriopt_BR
dc.description.resumoIndisponível.pt_BR
dc.publisher.countryBrasilpt_BR
dc.publisher.departmentInstituto COPPEAD de Administraçãopt_BR
dc.publisher.initialsUFRJpt_BR
dc.subject.cnpqCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAOpt_BR
dc.citation.issue353pt_BR
dc.embargo.termsabertopt_BR
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