Summary
This work studies the main statistical properties of daily returns in the Portuguese stock market, for which were selected three stocks and an index of Lisbon Stock Exchange. Emphasising the behaviour of variance and autocorrelation, was observed that the returns are strongly leptocurtic, have a non-Normal statistical distribution, variance not constant and t dependent and, also, that they are non-linear. However, the main conclusion is that the series exhibit an autocorrelation, which is not due to the presence of conditional heteroscedasticity, opening some perspectives concerning predictability. This characteristics are similar to others obtained in more developed markets.

keywords: stock market; returns; autocorrelation; non-linearity; conditional heteroscedasticity.