Is the Mexican Stock Market Becoming More Efficient?
This paper studies the recent evolution of market efficiency in the Mexican Stock Exchange by testing the hypothesis that stock prices have become ”more efficient” through time. This is done by observing the evolution of the coefficients of the regressions between individual stocks returns and a market proxy sample portfolio. The sample of shares was selected under the criterion of a greater frequency of trading. Following Morck, Yeung and Yu’ (2000) work, we built a Market Proxy Sample Portfolio (MPSP) that includes 27 larger firms issuing shares (with respect to a relative capitalization measure), frequently traded shares, listed in the Mexican Stock Exchange. The database included daily closing prices from January 1999 to May 2010. The results of the tests indicate there is a downward trend in the magnitude of the average R2 during the first half of the decade, but there is an inflection in the trend in the last three years of the period of study, which may be explained by the extraordinary turbulence that prevailed during the 2007-2009 financial crisis.
Volume (Year): (2012)
Issue (Month): (October)
|Contact details of provider:|| Web page: http://www.remef.org.mx/|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990.
"Noise Trader Risk in Financial Markets,"
3725552, Harvard University Department of Economics.
- Kawakatsu, Hiroyuki & Morey, Matthew R., 1999. "Financial liberalization and stock market efficiency: an empirical examination of nine emerging market countries," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 353-371, November.
- Jeffrey Wurgler, 1999.
"Financial Markets And The Allocation Of Capital,"
Yale School of Management Working Papers
ysm123, Yale School of Management, revised 01 Mar 2001.
- Corrado, Charles J., 1989. "A nonparametric test for abnormal security-price performance in event studies," Journal of Financial Economics, Elsevier, vol. 23(2), pages 385-395, August.
- Levine, Ross, 1996.
"Financial development and economic growth : views and agenda,"
Policy Research Working Paper Series
1678, The World Bank.
- Ross Levine, 1997. "Financial Development and Economic Growth: Views and Agenda," Journal of Economic Literature, American Economic Association, vol. 35(2), pages 688-726, June.
- Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
- 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.
- Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
- Scholes, Myron & Williams, Joseph, 1977. "Estimating betas from nonsynchronous data," Journal of Financial Economics, Elsevier, vol. 5(3), pages 309-327, December.
- Levine, Ross, 1991. " Stock Markets, Growth, and Tax Policy," Journal of Finance, American Finance Association, vol. 46(4), pages 1445-65, September.
- Bhattacharya, Utpal & Daouk, Hazem & Jorgenson, Brian & Kehr, Carl-Heinrich, 2000.
"When an event is not an event: the curious case of an emerging market,"
Journal of Financial Economics,
Elsevier, vol. 55(1), pages 69-101, January.
- Bhattacharya, Utpal & Daouk, Hazem & Jorgenson, Brian & Kehr, Carl-Heinrich, 1998. "When an event is not an event: The curious case of an emerging market," CFS Working Paper Series 1998/12, Center for Financial Studies (CFS).
- Lucas, Robert Jr., 1988. "On the mechanics of economic development," Journal of Monetary Economics, Elsevier, vol. 22(1), pages 3-42, July.
When requesting a correction, please mention this item's handle: RePEc:imx:journl:20121021. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Beatriz Romero)
If references are entirely missing, you can add them using this form.