Episodic Non-linearities and Market Efficiency in the Mexican Stock Market

dc.contributor.author	Bonilla, Claudio A.
dc.contributor.author	Romero, Rafael
dc.contributor.author	Gutierrez, Elizabeth
dc.date.accessioned	2016-11-22T22:05:47Z
dc.date.available	2016-11-22T22:05:47Z
dc.date.issued	2011
dc.description.abstract	We 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.
dc.identifier.citation	Manchester School, 2011, vol. 79, n° 3, p. 367-380
dc.identifier.uri	http://hdl.handle.net/11447/852
dc.identifier.uri	http://dx.doi.org/10.1111/j.1467-9957.2009.02159.x
dc.language.iso	en_US
dc.title	Episodic Non-linearities and Market Efficiency in the Mexican Stock Market
dc.type	Artículo

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