There are cases of works where the movements in the piece are intended to be played in a sequence with no pause. The composer often ends each movement with an incomplete cadence that is resolved by the beginning of the next movement. Prehaps the most famous example if the Third and Forth movements of Beethoven's Fifth Symphony Op. 67 in C-minor. The Scherzo ends on a big cadence that goes right into the Finale, a sonata-allegro movement, and the cadence is rhymed in the finale as the cadence that leads to the Recapitulation. Another example is the Beethoven String Quartet in C# Minor #14 Op. 131. All seven movements are played with no interruption. The first movement is a fugue (Ricercare) that ends on a C# Major chord that immediately modulates to D-Major. The Third movement is but an introduction as a recitative and cadenza in F# Minor that introduces a set of variations in A-Major. These movements can't be played alone.
One comes to expect movements to follow one another and that need is well-founded on the composer's choice of textual and tonal contrast. To upset this is jarring, even though one can get away with it.
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