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La hipótesis de martingala en el mercado bursátil mexicano

  • Nadiezhda de la Uz

    (Tecnológico de Monterrey, Campus Ciudad de México)

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    We examine the martingale hypothesis for the Mexican stock market during the period 1993 - 2000. This research includes 97% of all securities with medium and high trading frequency. The proposed tests are robust when dealing with non normal and heteroskedastic data. The tests use the fact that the variances from continuously compounded returns are lineal in time. The hypothesis is not rejected for the main Mexican stock indexes (the IPC and the INMEX). For individual stocks we find that in 70% of the examined cases, the hypothesis is not rejected. Finally, we include proofs of long- range independence, which are required for the derivation of the relevant statistics

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    File URL: http://codex.colmex.mx:8991/exlibris/aleph/a18_1/apache_media/195CP2MUY84EDGMA3TSIXYFNYLJP1K.pdf
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    Article provided by El Colegio de México, Centro de Estudios Económicos in its journal Estudios Económicos.

    Volume (Year): 17 (2002)
    Issue (Month): 1 ()
    Pages: 91-127

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    Handle: RePEc:emx:esteco:v:17:y:2002:i:1:p:91-127
    Contact details of provider: Web page: http://www.colmex.mx/centros/cee/

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    1. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    2. Lo, Andrew W. (Andrew Wen-Chuan), 1989. "Long-term memory in stock market prices," Working papers 3014-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    3. Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
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    7. Grieb, Terrance & Reyes, Mario G, 1999. "Random Walk Tests for Latin American Equity Indexes and Individual Firms," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(4), pages 371-83, Winter.
    8. White, Halbert & Domowitz, Ian, 1984. "Nonlinear Regression with Dependent Observations," Econometrica, Econometric Society, vol. 52(1), pages 143-61, January.
    9. Jorge L. Urrutia, 1995. "Tests Of Random Walk And Market Efficiency For Latin American Emerging Equity Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(3), pages 299-309, 09.
    10. LeRoy, Stephen F, 1989. "Efficient Capital Markets and Martingales," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1583-1621, December.
    11. B. Mandelbrot, 1972. "Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 1, number 3, pages 259-290 National Bureau of Economic Research, Inc.
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