This thesis contains three papers. Each paper addresses a distinct research question and is implemented on a separate dataset. The first paper concludes that daytime auctions, together with market opening and closing intervals, contribute to the periodicity of the cross-section of stock returns....

Financial Markets have undoubtedly played a crucial role in the economic development and technological growth the world has experienced over the last century. The availability of liquid markets greatly facilitates the opportunities of raising capital and risk sharing, allowing the financing of...