Financial Time Series: Stylized Facts for the Mexican Stock Exchange Index Compared to Developed Markets
Abstract
We present some stylized facts exhibited by the time series of returns of the Mexican Stock Exchange Index (IPC) and compare them to a sample of both developed (USA, UK and Japan) and emerging markets (Brazil and India). The period of study is 1997-2011. The stylized facts are related mostly to the probability distribution func- tion and the autocorrelation function (e.g. fat tails, non-normality, volatility cluster- ing, among others). We find that positive skewness for returns in Mexico and Brazil, but not in the rest, suggest investment opportunities. Evidence of nonlinearity is also documented.
- Publication:
-
arXiv e-prints
- Pub Date:
- December 2014
- DOI:
- 10.48550/arXiv.1412.3126
- arXiv:
- arXiv:1412.3126
- Bibcode:
- 2014arXiv1412.3126R
- Keywords:
-
- Quantitative Finance - Statistical Finance
- E-Print:
- Chapter of book Nonlinear Time Series and Finance, Semei Coronado-Ram\'irez et al. (eds.), Universidad de Guadalajara, 2013