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http://hdl.handle.net/11422/9243Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Ratner, Mitchell | - |
| dc.contributor.author | Leal, Ricardo Pereira Câmara | - |
| dc.date.accessioned | 2019-08-29T16:21:04Z | - |
| dc.date.available | 2023-12-21T03:00:33Z | - |
| dc.date.issued | 2001 | - |
| dc.identifier.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). | pt_BR |
| dc.identifier.isbn | 8575080342 | pt_BR |
| dc.identifier.issn | 1518-3335 | pt_BR |
| dc.identifier.uri | http://hdl.handle.net/11422/9243 | - |
| dc.description.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. | en |
| dc.language | eng | pt_BR |
| dc.publisher | Universidade Federal do Rio de Janeiro | pt_BR |
| dc.relation.ispartof | Relatórios COPPEAD | pt_BR |
| dc.rights | Acesso Aberto | pt_BR |
| dc.subject | Finanças | pt_BR |
| dc.subject | Mercado financeiro | pt_BR |
| dc.subject | Brasil | pt_BR |
| dc.subject | Working paper | en |
| dc.title | The effect of financial liberalization on cross-autocorrelation in the brazilian equit market | en |
| dc.type | Relatório | pt_BR |
| dc.description.resumo | Indisponível. | pt_BR |
| dc.publisher.country | Brasil | pt_BR |
| dc.publisher.department | Instituto COPPEAD de Administração | pt_BR |
| dc.publisher.initials | UFRJ | pt_BR |
| dc.subject.cnpq | CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO | pt_BR |
| dc.citation.issue | 353 | pt_BR |
| dc.embargo.terms | aberto | pt_BR |
| Appears in Collections: | Relatórios | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| RC_353-Comp..pdf | 88.07 kB | Adobe PDF | View/Open |
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