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Is the Mexican Stock Market Becoming More Efficient?

Author

Listed:
  • Roberto J. Santillán-Salgado

    (Professor of Finance, EGADE Business School, Monterrey Campus)

Abstract

En este trabajo se estudia la evolución reciente de la eficiencia del mercado en la Bolsa Mexicana de Valores probando la hipótesis de que los precios de las acciones tienden a ser "más eficientes" a través del tiempo. Para ello se observa la evolución 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 utilizó un "portafolio muestra del mercado" (MPSP) que incluyó a 27 grandes emisoras (con respecto de una medida relativa de la capitalización), de gran bursatilidad, listadas en la Bolsa Mexicana de Valores. La base de datos incluyó 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 década, pero hay una inflexión en la tendencia en los últimos tres a ?nos del periodo bajo estudio, lo cual puede ser explicado por la extraordinaria turbulencia que prevaleció durante la crisis financiera 2007-2009.

Suggested Citation

  • Roberto J. Santillán-Salgado, 2011. "Is the Mexican Stock Market Becoming More Efficient?," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 6(1), pages 87-102, Julio-Dic.
    • Handle: RePEc:imx:journl:v:6:y:2011:i:1:p:87-102
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    References listed on IDEAS

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    More about this item

    Keywords

    Information and Market Efficiency; International Financial Markets;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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