IDEAS home Printed from https://ideas.repec.org/p/arx/papers/physics-0607192.html
   My bibliography  Save this paper

Evidence of Increment of Efficiency of the Mexican Stock Market Through the Analysis of its Variations

Author

Listed:
  • H. F. Coronel-Brizio
  • A. R. Hernandez-Montoya
  • R. Huerta-Quintanilla
  • M. Rodriguez-Achach

Abstract

It is well known that there exist statistical and structural differences between the stock markets of developed and emerging countries. In this work, we present an analysis of the variations and autocorrelations of the Mexican Stock Market index (IPC) for different periods of its historical daily data, showing evidence that the Mexican Stock Market has been increasing its efficiency in recent times. We have analyzed the returns autocorrelation function (ACF) and used detrended fluctuation analysis (DFA) methods. We also analyze the volatility of the IPC and the Dow Jones Industrial Average (DJIA) and compare their evolution. The data samples analyzed here, correspond to daily values of the IPC and DJIA for the period 10/30/1978 to 02/28/2006.

Suggested Citation

  • H. F. Coronel-Brizio & A. R. Hernandez-Montoya & R. Huerta-Quintanilla & M. Rodriguez-Achach, 2006. "Evidence of Increment of Efficiency of the Mexican Stock Market Through the Analysis of its Variations," Papers physics/0607192, arXiv.org.
    • Handle: RePEc:arx:papers:physics/0607192
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/physics/0607192
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:physics/0607192. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.