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Eficiencia de las principales acciones de la bolsa mexicana de valores: 2001-2012

Author

Listed:
  • Morales-Pelagio, Ricardo Cristhian

    (Universidad Nacional Autónoma de México)

  • López-Herrera, Francisco

    (Universidad Nacional Autónoma de México)

  • Cabrera-Llanos, Agustín Ignacio

    (Instituto Politécnico Nacional)

Abstract

El presente trabajo analiza si han habido cambios en la eficiencia de mercado en los rendimientos y la volatilidad de acciones que cotizan en el mercado de valores mexicano. El análisis se lleva a cabo comparando dos periodos en el comportamiento de ese mercado; el primero es el previo a la aparición de la crisis en los mercados financieros globales en la década pasada y, el segundo periodo corresponde a la crisis y los años posteriores. Los resultados de la prueba de Geweke y Porter-Hudak sugieren que como consecuencia de la crisis han habido cambios en la eficiencia de algunas acciones que cotizan en el mercado accionario mexicano./ This paper analyzes if there have been changes in the market efficiency of the main equities quoted in the Mexican Stock Exchange. The analysis of the the returns and volatilities of that equities is performed comparing two time periods; the first one is previous the occurrence of the crisis in the financial global markets, and the second period corresponds to the crisis and the subsequent years. The Geweke and Porter-Hudak test results suggest that as a consequence of the crisis there have been changes in the efficiency of some equities quoted in the Bolsa Mexicana de Valores.

Suggested Citation

  • Morales-Pelagio, Ricardo Cristhian & López-Herrera, Francisco & Cabrera-Llanos, Agustín Ignacio, 2013. "Eficiencia de las principales acciones de la bolsa mexicana de valores: 2001-2012," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(37), pages 55-75, primer tr.
    • Handle: RePEc:ipn:esecon:v:viii:y:2013:i:37:p:55-75
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    References listed on IDEAS

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    More about this item

    Keywords

    eficiencia del mercado; volatilidad; memoria larga; Bolsa Mexicana de Valores/ market efficiency; volatility; long memory; Mexican Stock Exchange;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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