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

@inproceedings{CoronelBrizio2008EvidenceOI,
  title={Evidence of Increment of Efficiency of the Mexican Stock Market Through the Analysis of its Variations},
  author={H. F. Coronel-Brizio and A. R. Hern{\'a}ndez-Montoya and Rodrigo Huerta-Quintanilla and M. Rodŕıguez-Achach},
  year={2008}
}
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… CONTINUE READING