TY - JOUR
T1 - Adaptive market hypothesis
T2 - Evidence from the Mexican stock exchange index
AU - Rojas, Omar
AU - Coronado, Semei
AU - Venegas-Martínez, Francisco
N1 - Publisher Copyright:
© 2017, ASERS Publishing House. All rights reserved.
PY - 2017/6/1
Y1 - 2017/6/1
N2 - This paper is aimed at studying the Adaptive Market Hypothesis (AMH) of the Mexican Stock Exchange Index (IPC, for its acronym in Spanish). To do this, we apply: 1) unit-root tests, 2) nonlinear tests, and 3) episodic nonlinearity tests. The main empirical finding is that the IPC goes through plenty of periods where the market behaves in an efficient way. That is, as a random walk, followed by some periods of adaptability where non-linearity in the series of the IPC returns is found.
AB - This paper is aimed at studying the Adaptive Market Hypothesis (AMH) of the Mexican Stock Exchange Index (IPC, for its acronym in Spanish). To do this, we apply: 1) unit-root tests, 2) nonlinear tests, and 3) episodic nonlinearity tests. The main empirical finding is that the IPC goes through plenty of periods where the market behaves in an efficient way. That is, as a random walk, followed by some periods of adaptability where non-linearity in the series of the IPC returns is found.
KW - Adaptive market hypothesis
KW - Emerging markets
KW - Financial markets
UR - http://www.scopus.com/inward/record.url?scp=85031280885&partnerID=8YFLogxK
M3 - Artículo
SN - 1843-6110
VL - 12
SP - 687
EP - 697
JO - Journal of Applied Economic Sciences
JF - Journal of Applied Economic Sciences
IS - 3
ER -