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Financial Time Series: Stylized Facts for the Mexican Stock Exchange Index Compared to Developed Markets

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  • Omar Rojas
  • Carlos Trejo-Pech

Abstract

We present some stylized facts exhibited by the time series of returns of the Mexican Stock Exchange Index (IPC) and compare them to a sample of both developed (USA, UK and Japan) and emerging markets (Brazil and India). The period of study is 1997-2011. The stylized facts are related mostly to the probability distribution func- tion and the autocorrelation function (e.g. fat tails, non-normality, volatility cluster- ing, among others). We find that positive skewness for returns in Mexico and Brazil, but not in the rest, suggest investment opportunities. Evidence of nonlinearity is also documented.

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  • Omar Rojas & Carlos Trejo-Pech, 2014. "Financial Time Series: Stylized Facts for the Mexican Stock Exchange Index Compared to Developed Markets," Papers 1412.3126, arXiv.org.
    • Handle: RePEc:arx:papers:1412.3126
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    References listed on IDEAS

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    Cited by:

    1. Rui Wang, 2021. "Discriminating modelling approaches for Point in Time Economic Scenario Generation," Papers 2108.08818, arXiv.org.

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