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On the scaling of the distribution of daily price fluctuations in Mexican financial market index

Listed author(s):
  • Lester Alfonso
  • Ricardo Mansilla
  • Cesar A. Terrero-Escalante
Registered author(s):

    In this paper, a statistical analysis of log-return fluctuations of the IPC, the Mexican Stock Market Index is presented. A sample of daily data covering the period from $04/09/2000-04/09/2010$ was analyzed, and fitted to different distributions. Tests of the goodness of fit were performed in order to quantitatively asses the quality of the estimation. Special attention was paid to the impact of the size of the sample on the estimated decay of the distributions tail. In this study a forceful rejection of normality was obtained. On the other hand, the null hypothesis that the log-fluctuations are fitted to a $\alpha$-stable L\'evy distribution cannot be rejected at 5% significance level.

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    Paper provided by in its series Papers with number 1111.2038.

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    Date of creation: Nov 2011
    Handle: RePEc:arx:papers:1111.2038
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