Pruebas de no linealidad de los rendimientos del mercado mexicano accionario: coeficientes de Lyapunov
We examine the non-linearity of the Mexican Stock Market daily returns. We find empirical evidence to reject lineal specifications in the behavior of the stock returns. As a consequence, most of the findings based on lineal methods regarding the stock market in Mexico may be questioned. We also test a random walk specification versus an alternative hypothesis of chaos in the Mexican stock market index, IPC. To achieve this, we design a statistic based on Lyapunov dominant exponent by using local polynomial regression methods. The empirical distribution of the statistic is obtained through the surrogate data method. Finally, the test concludes that the hypothesis of random walk cannot be rejected.
Volume (Year): 17 (2002)
Issue (Month): 2 ()
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- 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.
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- Park, Joon Y. & Whang, Yoon-Jae, 2012.
"Random walk or chaos: A formal test on the Lyapunov exponent,"
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Elsevier, vol. 169(1), pages 61-74.
- Joon Y. Park & Yoon-Jae Whang, 1999. "Random Walk or Chaos: A Formal Test on the Lyapunov Exponent," Working Paper Series no9, Institute of Economic Research, Seoul National University.
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