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

Omar Rojas () and Carlos Trejo-Pech

Papers from arXiv.org

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.

Date: 2014-12
New Economics Papers: this item is included in nep-fmk
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