La hipótesis de Martingala en el mercado bursátil mexicano
We examine the martingale hypothesis for the Mexican stock market during the period 1993 - 2000. This research includes 97% of all securities with medium and high trading frequency. The proposed tests are robust when dealing with non normal and heteroskedastic data. The tests use the fact that the v...
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| Formato: | Online |
| Idioma: | espanhol |
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El Colegio de México, A.C.
2002
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| Acesso em linha: | https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/197 |
| Recursos: |
Estudios Económicos |
| authentication_code | dc |
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| _version_ | 1844256678177931264 |
| author | de la Uz, Nadiezhda |
| author_facet | de la Uz, Nadiezhda |
| author_sort | de la Uz, Nadiezhda |
| category_str_mv |
"Bolivia", "hyperinflation", "economic crisis", "Bolivia", "hiperinflación", "crisis económica"
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| collection | OJS |
| description | We examine the martingale hypothesis for the Mexican stock market during the period 1993 - 2000. This research includes 97% of all securities with medium and high trading frequency. The proposed tests are robust when dealing with non normal and heteroskedastic data. The tests use the fact that the variances from continuously compounded returns are lineal in time. The hypothesis is not rejected for the main Mexican stock indexes (the IPC and the INMEX). For individual stocks we find that in 70% of the examined cases, the hypothesis is not rejected. Finally, we include proofs of long- range independence, which are required for the derivation of the relevant statistics. |
| format | Online |
| id | oai:oai.estudioseconomicos.colmex.mx:article-197 |
| index_str_mv | CONAHCYT LATINDEX PKP Index DORA Redalyc Scielo México Handbook of Latin American Studies (HLAS) JSTOR Dialnet HAPI Ulrich’s International Periodicals Directory Google Scholar IBSS Gale OneFile: Informe Académico Global Issues in Context InfoTracCustom Cengage Learning EconLit Índice bibliográfico Publindex RePEc The Journal of Economic Literature |
| journal | Estudios Económicos |
| language | spa |
| publishDate | 2002 |
| publisher | El Colegio de México, A.C. |
| record_format | ojs |
| Terms_governing_use_and_reproduction_note | Copyright (c) 2018 Estudios Económicos |
| data_source_entry/ISSN | Estudios Económicos de El Colegio de México; 33-vol. 17, no. 1, january-june, 2002; 91-127 Estudios Económicos de El Colegio de México; 33-vol. 17, núm. 1, enero-junio, 2002; 91-127 0186-7202 0188-6916 |
| spelling | oai:oai.estudioseconomicos.colmex.mx:article-1972023-02-20T23:42:57Z The Martingale hypothesis in the Mexican stock market La hipótesis de Martingala en el mercado bursátil mexicano de la Uz, Nadiezhda Martingala hypothesis Martingala stock market Mexico G14 G15 hipótesis de Martingala Martingala mercado bursátil México G14 G15 We examine the martingale hypothesis for the Mexican stock market during the period 1993 - 2000. This research includes 97% of all securities with medium and high trading frequency. The proposed tests are robust when dealing with non normal and heteroskedastic data. The tests use the fact that the variances from continuously compounded returns are lineal in time. The hypothesis is not rejected for the main Mexican stock indexes (the IPC and the INMEX). For individual stocks we find that in 70% of the examined cases, the hypothesis is not rejected. Finally, we include proofs of long- range independence, which are required for the derivation of the relevant statistics. Se examina la hipótesis de Martingala para el mercado bursátil mexicano en el periodo 1993 - 2000. El estudio considera 97% de las acciones de bursatilidad media y alta, e incluye los índices IPC e INMEX. Las pruebas usadas son robustas en condiciones de heteroscedasticidad y no normalidad, y se fundamentan en el hecho de que la varianza de los rendimientos es lineal en el tiempo. Se encuentra evidencia empírica de que la hipótesis no es rechazada para los índices mencionados. Sin embargo, para algunas acciones individuales si lo es. Por último se incluyen pruebas de independencia a largo plazo necesarias para obtener la distribución asintótica de los estadísticos relevantes. El Colegio de México, A.C. 2002-01-01 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion application/pdf https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/197 10.24201/ee.v17i1.197 Estudios Económicos de El Colegio de México; 33-vol. 17, no. 1, january-june, 2002; 91-127 Estudios Económicos de El Colegio de México; 33-vol. 17, núm. 1, enero-junio, 2002; 91-127 0186-7202 0188-6916 spa https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/197/199 Copyright (c) 2018 Estudios Económicos |
| spellingShingle | Martingala hypothesis Martingala stock market Mexico G14 G15 hipótesis de Martingala Martingala mercado bursátil México G14 G15 de la Uz, Nadiezhda La hipótesis de Martingala en el mercado bursátil mexicano |
| title | La hipótesis de Martingala en el mercado bursátil mexicano |
| title_alt | The Martingale hypothesis in the Mexican stock market |
| title_full | La hipótesis de Martingala en el mercado bursátil mexicano |
| title_fullStr | La hipótesis de Martingala en el mercado bursátil mexicano |
| title_full_unstemmed | La hipótesis de Martingala en el mercado bursátil mexicano |
| title_short | La hipótesis de Martingala en el mercado bursátil mexicano |
| title_sort | la hipotesis de martingala en el mercado bursatil mexicano |
| topic | Martingala hypothesis Martingala stock market Mexico G14 G15 hipótesis de Martingala Martingala mercado bursátil México G14 G15 |
| topic_facet | Martingala hypothesis Martingala stock market Mexico G14 G15 hipótesis de Martingala Martingala mercado bursátil México G14 G15 |
| url | https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/197 |
| work_keys_str_mv | AT delauznadiezhda themartingalehypothesisinthemexicanstockmarket AT delauznadiezhda lahipotesisdemartingalaenelmercadobursatilmexicano AT delauznadiezhda martingalehypothesisinthemexicanstockmarket |