Evidence of increment of efficiency of the Mexican Stock Market through the analysis of its variations

Physica A: Statistical Mechanics and its Applications

Volumn 380, Issue 1-2, 2007, Pages 391-398

  Coronel Brizio, H F ^a   Hernandez Montoya A R ^a   Huerta Quintanilla, R ^b   Rodriguez Achach M ^a,b  

^a UNIVERSIDAD VERACRUZANA   (Mexico)

^b INSTITUTO POLITÉCNICO NACIONAL   (Mexico)

Author keywords

Autocorrelation function (ACF); Detrended fluctuation analysis; Econophysics; Emerging market; Market efficiency; Returns; Volatility

Indexed keywords

DATABASE SYSTEMS; ECONOMIC ANALYSIS; INDUSTRIAL ECONOMICS; MARKETING; STATISTICAL MECHANICS;

AUTOCORRELATION FUNCTION (ACF); DETRENDED FLUCTUATION ANALYSIS; ECONOPHYSICS; EMERGING MARKET; MARKET EFFICIENCY;

FINANCIAL DATA PROCESSING;

EID: 34248212886     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.02.109     Document Type: Article

References (22)

1. Constantin M., and Das Sarma S. Phys. Rev. E 72 (2005) 051106
2. Plerou V., Gopikrishnan P., Rosenow B., N. Amaral L.A., and Stanley H.E. Phys. Rev. Lett. 83 (1999) 001471
3. Matos J.A.O., Gama S.M.A., Ruskin H.J., and Duarte J.A.M.S. Physica A 342 (2004) 665
4. Grech D., and Mazur Z. Physica A 336 (2004) 133
5. Zhuang X.-T., Huang X.-Y., and Sha Y.-L. Physica A 333 (2004) 293
6. Pagan A. J. Empirical Finance 3 (1996) 15
7. Cont R. Quant. Finance 1 (2001) 223
8. Fama E.F. J. Finance 25 (1970) 383
9. Lim K.-P. Physica A 376 (2007) 517-524
10. Tóth B., and Kertész J. Physica A 360 (2006) 505
11. Cajueiro D.O., and Tabak B.M. Physica A 336 (2004) 521-537
12. Harvey C.R. Rev. Financial Stud. V8 N3 (1995) 773
13. G. Bekaert, C.R. Harvey, NBER Working Paper 5307, 1995.
14. De Santis G., and Imrohoroglu S. J. Int. Money Finance 16 (1997) 561
15. Selçuk F. Physica A 333 (2004) 306
16. Di Matteo T., Aste T., and Dacorogna M.M. Physica A 324 (2003) 1983
17. Bȩben M., and Orlowski A. Eur. Phys. J. B 20 (2001) 527
18. Peng C.K., Buldyrev S.V., Havlin S., Simons M., Stanley H.E., and Goldberger A.L. Phys. Rev. E 49 (1994) 1685-1689
19. Couillard M., and Davison M. Physica A 348 (2005) 404
20. Constantin M., and Das Sarma S. Phys. Rev. E 72 (2005) 051106
21. Liu Y., et al. Phys. Rev. E 60 2 (1999) 1390
22. R. Brun, F. Rademakers, ROOT-an object oriented data analysis framework, Proceedings AIHENP'96 Workshop, Lausanne, September 1996, Nucl. Instrum. Methods A 389 (1997) 〈http://root.cern.ch〉.