Nonlinearity tests of the Mexican stock market returns: Lyapunov coefficients
We examine the non-linearity of the Mexican Stock Market daily returns. We find empirical evidence to reject lineal specifications in the behavior of the stock returns. As a consequence, most of the findings based on lineal methods regarding the stock market in Mexico may be questioned. We also test...
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2002 |
| País: | México |
| Institución: | EL COLEGIO DE MÉXICO |
| Repositorio: | Estudios Económicos de El Colegio de México |
| Idioma: | español |
| OAI Identifier: | oai:oai.estudioseconomicos.colmex.mx:article/191 |
| Acceso en línea: | https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/191 |
| Access Level: | acceso abierto |
| Palabra clave: | returns Lyapunov dominant exponent C51 C52 rendimiento coeficientes de Lyapunov |
| Sumario: | We examine the non-linearity of the Mexican Stock Market daily returns. We find empirical evidence to reject lineal specifications in the behavior of the stock returns. As a consequence, most of the findings based on lineal methods regarding the stock market in Mexico may be questioned. We also test a random walk specification versus an alternative hypothesis of chaos in the Mexican stock market index, IPC. To achieve this, we design a statistic based on Lyapunov dominant exponent by using local polynomial regression methods. The empirical distribution of the statistic is obtained through the surrogate data method. Finally, the test concludes that the hypothesis of random walk cannot be rejected. |
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