Pruebas de no linealidad de los rendimientos del mercado mexicano accionario: coeficientes de Lyapunov

Arturo Lorenzo Valdés
Additional contact information
Arturo Lorenzo Valdés: Tecnológico de Monterrey, Campus Ciudad de México

Estudios Económicos, 2002, vol. 17, issue 2, 305-322

Abstract: We examine the non-linearity of the Mexican Stock Market daily returns. We find empirical evidence to reject lineal specifications in the behavior of the stock returns. As a consequence, most of the findings based on lineal methods regarding the stock market in Mexico may be questioned. We also test a random walk specification versus an alternative hypothesis of chaos in the Mexican stock market index, IPC. To achieve this, we design a statistic based on Lyapunov dominant exponent by using local polynomial regression methods. The empirical distribution of the statistic is obtained through the surrogate data method. Finally, the test concludes that the hypothesis of random walk cannot be rejected.

Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/191/193 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:emx:esteco:v:17:y:2002:i:2:p:305-322

Access Statistics for this article

More articles in Estudios Económicos from El Colegio de México, Centro de Estudios Económicos Contact information at EDIRC.
Bibliographic data for series maintained by Ximena Varela ().