The efficiency of the Mexican stock market:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York u.a.
Garland
1992
|
| Schriftenreihe: | Developing economies of the Third World
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Teilw. zugl.: Claremont Univ., Diss., 1988 |
| Beschreibung: | XI, 255 S. |
| ISBN: | 0815306288 |
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Datensatz im Suchindex
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| adam_text | TABLE OF CONTENTS
PAGE
Acknowledgements iii
List of Charts vii
List of Tables viii
Chapter
I. Introduction 1
n. Market Structure 7
A. The Stock Exchange as Part of the Financial System. 8
B. History of the Stock Exchange 10
C. Type of Orders 13
D. Order Sizes and Ticks (Price Intervals) 13
E. Types of Transactions 14
F. The Trading Floor 17
G. System of Prices Set by the Exchange 19
H. Commissions 20
I. Size of the Market 22
J. Some Descriptive Statistics on the Market 23
HI. The Behavior of Stock Market Returns 39
A. Data 39
B. Indexes and Portfolios 42
C. Distribution of Stock Market Returns 44
D. The Effects of Diversification 50
E. Extended Diversification 53
IV. The Efficiency of the Mexican Stock Market 113
A. Serial Correlation Tests on Returns 114
1. Weekly Returns 115
2. Monthly Returns 116
3. Monthly Real Returns 117
B. Estimating Stock and Portfolio Risk 118
1. The Market Model 118
2. The Capital Asset Pricing Model (C.A.P.M).. 120
C. Risk Measurement When Shares are Subjet to
Infrequent Trading 122
1. Scholes and William Beta 122
2. Dimson s Corrected Beta 123
D. A Comparison of Betas 126
E. Stability of Betas over Time 127
v
F. Serial Correlation Test on Excess Returns [R E(R)]. 129
G. Filter Rules 130
V. Conclusions 243
Bibliography 247
LIST OF CHARTS
CHART PAGE
II. 1 Structure of the Mexican Financial System 26
II.2 The Stock Exchange 27
vii
LIST OF TABLES
TABLE PAGE
II.3 Current Round Lots and Ticks 28
II.4.A. Round Lots and Ticks in Operation from 08/1987 to 06/1991 ... 29
II.4.B. Round Lots and Ticks in Operation from 01/1987 to 07/1987 ... 29
11.5 Round Lots in Operation from 01/1982 to 12/1986 30
11.6 Price Intervals in Operation from 01/1982 to 12/1986 30
11.7 Commissions per Share in Operation from 1969 to 1973 31
11.8 Commissions per 100 Shares in Operation from 1973 to 1985 .. 31
11.9 Stock Transactions per Member Firm (Jan Dec 1990) 32
II. 10 Listed Issues and Corporations on the Mexican Stock Exchange . 33
11.11 Size of the Market 34
11.12 Members of the Mexican Stock Exchange 35
11.13 Some Descriptive Statistics on Brokerage Houses (May 1991)... 36
11.14 Evolution of the Stock Index 37
111.1 Stock Data Details for Weekly Returns 56
111.2 Stock Data Details for Monthly Returns 67
HI.3 Stocks Used to Calculate the Old Stock Price Index 72
111.4 Sample of Stocks Forming the Index (July August 1991) 73
111.5 Statistics Regarding the Distribution of Weekly Returns for 91
Mexican Stocks (1972 1981) 74
111.6 Statistics Regarding the Distribution of Weekly Returns for 34
Mexican Stocks (1972 1976) 78
111.7 Statistics Regarding the Distribution of Weekly Returns for 34
Mexican Stocks (1977 1981) 81
111.8 Statistics Regarding the Distribution of Weekly Portfolio
Returns (1972 1981) 84
111.9 Statistics Regarding the Distribution of Monthly Returns for 37
Mexican Stocks (1972 1981) 85
HI. 10 Statistics Regarding the Distribution of Monthly Returns for
37 Mexican Stocks (1972 1976) 89
III. 11 Statistics Regarding the Distribution of Monthly Return for 37
Mexican Stocks (1977 1981) 92
III. 12 Statistics Regarding the Distribution of Monthly Portfolio
Returns (1972 1981) 95
III. 13 Statistics Regarding the Distribution of Monthly Portfolio
Returns (1972 1976) 96
111.14 Statistics Regarding the Distribution of Monthly Portfolio
Returns (1977 1981) 97
viii
111.15 Correlation Matrix for Mexican Monthly Returns 98
111.16 The Effects of Diversification 105
HI.17 The Effects of Extended Hedged Diversification 108
ni.18 The Effects of Extended Unhedged Diversification 110
HI.19 [(SI SO)/SO](Mex) = C + B R(us) + E 112
IV. 1 Sample Autocorrelations for Weekly Returns on 91 Mexican
Stocks for Lags L=l,2,3, 8 (1972 1981) 136
IV.2 Sample Autocorrelations for Weekly Returns on 28 Mexican
Stocks for Lags L=l,2,3 8 (Subperiod 1) 141
IV.3 Sample Autocorrelations for Weekly Returns on 28 Mexican
Stocks for Lags L=l,2,3, 8 (Subperiod 2) 143
IV.4 Sample Autocorrelations on Weekly Portfolio Returns for
Lags L=l,2,....8 (1972 1981) 145
IV.5 Sample Autocorrelations for Monthly Returns on 37 Mexican
Stocks for Lags L=l,2,....8 (1972 1981) 146
IV.6 Sample Autocorrelations for Monthly Returns on 37 Mexican
Stocks for Lags L=l,2,....8 (1972 1976) 148
IV.7 Sample Autocorrelations for Monthly Returns on 37 Mexican
Stocks for Lags L=l,2 8 (1977 1981) 150
IV.8 Sample Autocorrelations on Monthly Portfolio Returns for
Lags L=l,2 8 (1972 1981) 152
IV.9 Sample Autocorrelations on Monthly Portfolio Returns for
Lags L=l,2,....8 (1972 1976) 153
IV. 10 Sample Autocorrelations on Monthly Portfolio Returns for
Lags L=l,2,....8 (1977 1981) 154
IV. 11 Sample Autocorrelations for Monthly Real Returns on 37
Mexican Stocks for Lags L=l,2 8 (1972 1981) 155
IV.12 Sample Autocorrelations for Monthly Real Returns on 37
Mexican Stocks for Lags L=l,2 8 (1972 1976) 157
IV. 13 Sample Autocorrelations for Monthly Real Returns on 37
Mexican Stocks for Lags L=l,2,....8 (1977 1981) 159
IV.14 Sample Autocorrelations on Monthly Portfolio Real Returns
for Lags L=l,2,....8 (1972 1981) 161
IV. 15 Sample Autocorrelations on Monthly Portfolio Real Returns
for Lags L=l,2,....8 (1972 1976) 162
IV. 16 Sample Autocorrelations on Monthly Portfolio Real Returns
for Lags L=l,2,....8 (1977 1981) 163
IV.17 The Market Model Ri = C + B Rm + Ei (1972 1981) 164
IV.18 The Market Model Rp = C + B Rm + Ep (1972 1981) 166
IV. 19 Testing Heteroscedasticity on the Market Model
I ei I = a + b RMi + wi 167
ix
IV.20 Testing Heteroscedasticity on the Market Model
I ep I = a + b RMp + wp 169
IV .21 The Market Model Corrected for Serial Correlation
(Individual Stocks) 1972 1981 170
IV.22 The Market Model Corrected for Serial Correlation
(Portfolios) 1972 1981 171
IV .23 The Market Model Corrected for Heteroscedasticity
(Individual Stocks) 172
IV.24 The Market Model Corrected for Heteroscedasticity and Serial
Correlation 173
IV .25 The Market Model Corrected for Serial Correlation and
Heteroscedasticity 173
IV.26 The Capital Asset Pricing Model
Ri Rf = C + B (Rm Rf) + Ei (1972 1981) 174
IV.27 The Capital Asset Pricing Model
Rp Rf = c + B (Rm Rf) + Ep (1972 1981) 176
IV.28 Testing Heteroscedasticity on the C.A.P.M.
I Ei I = a + b (Rm Rf) + wi 177
IV.29 Testing Heteroscedasticity on the C.A.P.M.
I Ep I = a + b (Rm Rf) + wp 179
IV.30 The C.A.P.M. Corrected for Serial Correlation
(Individual Shares) 180
IV.31 The C.A.P.M. Corrected for Serial Correlation (Portfolios) .... 181
IV.32 The C.AP.M. Corrected for Heteroscedasticity 182
IV.33 The C.A.P.M. Corrected for Heteroscedasticity and Serial
Correlation 183
IV.34 The C.AP.M. Corrected for Serial Correlation and
Heteroscedasticity 184
IV.35 Selected Stocks and Transaction Days (521 Wednesdays) 185
IV.36 Scholes Williams Beta (Individual Monthly Returns) 187
IV.37 Scholes Williams Beta (Portfolios of Monthly Returns) 192
IV.38 Scholes Williams Beta (Individual Weekly Returns) 194
IV.39 Scholes Wiliiams Beta (Portfolios of Weekly Returns) 198
IV.40 A Comparison of Betas (Weekly Returns) 200
IV.41 A Comparison of Betas (Monthly Returns) 203
IV.42 Chow Test on Scholes Williams Beta
(Individual Weekly Returns) 206
IV.43 Chow Test on Scholes Williams Beta (Portfolios of
Weekly Returns) 208
IV.44 Testing the Equality of the Intercepts 209
x
IV.45 Sample Autocorrelations for Weekly Excess Returns on 34
Mexican Stocks for Lags L=l,2,3,....8 (1972 1981) 211
IV.46 Sample Autocorrelations for Weekly Excess Returns on 34
Mexican Stocks for Lags L=l,2,3,....8 (1972 1976) 213
IV.47 Sample Autocorrelations for Weekly Excess Returns on 34
Mexican Stocks for Lags L=l,2,3 8 (1977 1981) 215
IV.48 Sample Autocorrelations for Weekly Excess Returns on Five
Portfolios for Lags L=l,2,...8 (1972 1981) 217
IV.49 Sample Autocorrelations for Weekly Excess Returns on Five
Portfolios for Lags L=l,2,...8 (1972 1976) 218
IV.50 Sample Autocorrelations for Weekly Excess Returns on Five
Portfolios for Lags L=l,2,...8 (1977 1981) 219
IV.51 Sample Autocorrelations for Monthly Excess Returns on 37
Mexican Stocks for Lags L=U,...8 (1972 1981) 220
IV.52 Sample Autocorrelations for Monthly Excess Returns on 37
Mexican Stocks for Lags L=l,2,...8 (1972 1976) 222
IV.53 Sample Autocorrelations for Monthly Excess Returns on 37
Mexican Stocks for Lags L=l,2,...8 (1977 1981) 224
IV.54 Sample Autocorrelations on Monthly Portfolio Excess
Returns for Lags L=l,2,...8 (1972 1981) 226
IV.55 Sample Autocorrelations on Monthly Portfolio Excess Returns
for Lags L=l,2,...8 (1972 1976) 227
IV.56 Sample Autocorrelations on Monthly Portfolio Excess Returns
for Lags L=l,2,...8 (1977 1981) 228
IV.57 Tests for Individual Securities (1/2 of One Percent Filter)
(Percent per Week) 229
IV.58 Effects of Transactions Costs on the Performance of an
Equally Weighted Portfolio (1/2 of One Percent Filter) 231
IV.59 Tests for Individual Securities (One Percent Filter)
(Percent per Week) 232
IV.60 Effects of Transactions Costs on the Performance of an
Equally Weighted Portfolio (One Percent Filter) 235
IV.61 Summary Results for Various Filter Rules 236
IV.62 Summary Results for Various Reverse Filter Rules 237
IV.63 Tests for Individual Securities (25 % Reverse Filter)
(Percent per Week) 238
IV.64 Effects of Transactions Costs on the Performance of an
Equally Weighted Portfolio (25 % Reverse Filter) 241
xi
|
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| spelling | Hakim, Miguel Verfasser aut The efficiency of the Mexican stock market Miguel Hakim New York u.a. Garland 1992 XI, 255 S. txt rdacontent n rdamedia nc rdacarrier Developing economies of the Third World Teilw. zugl.: Claremont Univ., Diss., 1988 Efficient market theory Stock exchanges Mexico Börse (DE-588)4007502-3 gnd rswk-swf Effizienz (DE-588)4013585-8 gnd rswk-swf Mexiko Mexiko (DE-588)4039058-5 gnd rswk-swf Mexiko (DE-588)4039058-5 g Börse (DE-588)4007502-3 s Effizienz (DE-588)4013585-8 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=003422726&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hakim, Miguel The efficiency of the Mexican stock market Efficient market theory Stock exchanges Mexico Börse (DE-588)4007502-3 gnd Effizienz (DE-588)4013585-8 gnd |
| subject_GND | (DE-588)4007502-3 (DE-588)4013585-8 (DE-588)4039058-5 |
| title | The efficiency of the Mexican stock market |
| title_auth | The efficiency of the Mexican stock market |
| title_exact_search | The efficiency of the Mexican stock market |
| title_full | The efficiency of the Mexican stock market Miguel Hakim |
| title_fullStr | The efficiency of the Mexican stock market Miguel Hakim |
| title_full_unstemmed | The efficiency of the Mexican stock market Miguel Hakim |
| title_short | The efficiency of the Mexican stock market |
| title_sort | the efficiency of the mexican stock market |
| topic | Efficient market theory Stock exchanges Mexico Börse (DE-588)4007502-3 gnd Effizienz (DE-588)4013585-8 gnd |
| topic_facet | Efficient market theory Stock exchanges Mexico Börse Effizienz Mexiko |
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