Permutation entropy and statistical analysis of the historical evolution of the Mexican stock market index

M. Rodríguez-Achach, A. Suárez-Solís (), A. R. Hernández Montoya (), J. E. Escalante-Martínez () and C. Calderón-Ramón ()
Additional contact information
M. Rodríguez-Achach: Universidad Marista de Mérida, Periférico Norte Tablaje, Catastral 13941, Carretera Mérida - Progreso, Mérida, Yucatán 97300, México
A. Suárez-Solís: Universidad Marista de Mérida, Periférico Norte Tablaje, Catastral 13941, Carretera Mérida - Progreso, Mérida, Yucatán 97300, México
A. R. Hernández Montoya: Instituto de Investigaciones en Inteligencia Artificial, Universidad Veracruzana, Campus Sur Calle Paseo No. 112 lote 2, Col. Nueva Xalapa, Xalapa, Veracruz CP 91097, México
J. E. Escalante-Martínez: Facultad de Ingeniería Mecánica y Eléctrica, Universidad Veracruzana, Poza Rica, Veracruz 93390, México
C. Calderón-Ramón: Facultad de Ingeniería Mecánica y Eléctrica, Universidad Veracruzana, Poza Rica, Veracruz 93390, México

International Journal of Modern Physics C (IJMPC), 2022, vol. 33, issue 07, 1-11

Abstract: The objective of this work is to analyze the Indice de Precios y Cotizaciones (IPC), which is the Mexican stock market index, by using several statistical tools in order to study the tendencies that can shed light on the evolution of the IPC towards a more efficient market. The methodology used is to apply the statistical tools to the Mexican index and compare the results with a mature and well-known market index such as the Dow Jones Industrial Average (DJIA). We employ an autocorrelation analysis, and the volatility of the indexes, applied to the daily returns of the closing price on a moving time window during the studied period (1980–2018). Additionally, we perform an order three permutation entropy analysis, which can quantify the disorder present in the time series. Our results show that there is evidence that the IPC has become more mature since its creation and that it can be considered an efficient market since around year 2000. The behavior of the several techniques used shows a similar behavior to the DJIA which is not observed before that year. There are some limitations mainly because there is no high frequency data that would permit a more detailed analysis, specifically in the periods before and after a crisis is located. Our conclusion is that since around the year 2000, the Mexican stock index displays the typical behavior of other mature markets and can be considered as one.

Keywords: Econophysics; financial markets; permutation entropy; time series (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0129183122500929
Access to full text is restricted to subscribers

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:wsi:ijmpcx:v:33:y:2022:i:07:n:s0129183122500929

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0129183122500929

Access Statistics for this article

International Journal of Modern Physics C (IJMPC) is currently edited by H. J. Herrmann

More articles in International Journal of Modern Physics C (IJMPC) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().