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Is the Mexican Stock Market Becoming More Efficient?


  • Roberto J. Santillán-Salgado

    (EGADE Business School, Monterrey Campus)


Abstract 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. Resumen En este trabajo se estudia la evoluci´on reciente de la eficiencia del mercado en la Bolsa Mexicana de Valores probando la hip´otesis de que los precios de las acciones tienden a ser “m´as eficientes” a trav´es del tiempo. Para ello se observa la evoluci´on de los coeficientes de las regresiones entre los rendimientos individuales de las acciones y un “proxy” del portafolio del mercado. La muestra fue seleccionada bajo el criterio de mayor bursatilidad. Con base en el trabajo de Morck, Yeung y Yu (2000) se utiliz´o un ”portafoliomuestra del mercado” (MPSP) que incluy´o a 27 grandes emisoras (con respecto de una medida relativa de la capitalizaci´on), de gran bursatilidad, listadas en la Bolsa Mexicana de Valores. La base de datos incluy´o precios diarios de cierre entre enero de 1999 y mayo de 2010. Los resultados de las pruebas indican que hay una tendencia a la baja en la magnitud del promedio de R2 durante la primera mitad de la d´ecada, pero hay una inflexi´on en la tendencia en los ´ultimos tres a˜nos del periodo bajo estudio, lo cual puede ser explicado por la extraordinaria turbulencia que prevaleci´o durante la crisis financiera 2007-2009.

Suggested Citation

  • Roberto J. Santillán-Salgado, 2012. "Is the Mexican Stock Market Becoming More Efficient?," Remef - The Mexican Journal of Economics and Finance, Instituto Mexicano de Ejecutivos de Finanzas. Remef, October.
  • Handle: RePEc:imx:journl:20121021

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    References listed on IDEAS

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