Browsing by Author "Gutierrez, Elizabeth"
Now showing 1 - 1 of 1
Results Per Page
Sort Options
Item Episodic Non-linearities and Market Efficiency in the Mexican Stock Market(2011) Bonilla, Claudio A.; Romero, Rafael; Gutierrez, ElizabethWe investigate the weak form of the efficient capital market hypothesis through the detection of a non-linear dynamic with potential for predictability of stock returns in the Mexican stock market. We apply the Hinich portmanteau bicorrelation test and the Brock, Dechert and Scheinkman test to the data. We observe that all the return series are characterized by a few brief periods of highly significant non-linearity. However, we cannot say that the Mexican market fails to satisfy the weak form of the efficient capital market hypothesis because the non-linear dependences appear on rare occasions and they are rapidly arbitraged away.