Evidence of increment of efficiency of the Mexican Stock Market through the analysis of its variations

H.F. Coronel-Brizio, A.R. Hernández-Montoya, R. Huerta-Quintanilla and M. Rodríguez-Achach

Physica A: Statistical Mechanics and its Applications, 2007, vol. 380, issue C, 391-398

Abstract: It is well known that there exist statistical and structural differences between the stock markets of developed and emerging countries. In this work, and in order to find out if the efficiency of the Mexican Stock Market has been changing over time, we have performed and compared several analyses of the variations of the Mexican Stock Market index (IPC) and Dow Jones industrial average index (DJIA) for different periods of their historical daily data. We have analyzed the returns autocorrelation function (ACF) and used detrended fluctuation analysis (DFA) to study returns variations. We also analyze the volatility, mean value and standard deviation of both markets and compare their evolution. We conclude from the overall result of these studies, that they show compelling evidence of the increment of efficiency of the Mexican Stock Market over time. The data samples analyzed here, correspond to daily values of the IPC and DJIA for the period 10/30/1978–02/28/2006.

Keywords: Econophysics; Market efficiency; Emerging market; Returns; Autocorrelation function (ACF); Detrended fluctuation analysis; Volatility (search for similar items in EconPapers)
Date: 2007
References: View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:380:y:2007:i:c:p:391-398

DOI: 10.1016/j.physa.2007.02.109

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