La hipótesis de eficiencia y la modelación de series bursátiles mexicanas: un análisis multivariado

We study the Efficient-Market Hypothesis (emh) and we model the series of Mexican stock returns. The study uses unit-root tests and twelve multivariate garch models. The main results suggest that: 1) The Mexican stock market is weakly inefficient; 2) efficiency has declined since 2007; 3) Constant Conditional Correlation (ccc) models are best ones that describe the returns; 4) good and bad news have asymmetric impacts on volatility; and 5) perturbations seem to follow a multivariate Student's t distribution. The study uses 20 daily series of stock prices and of the Mexican Stock-Market Index (ipc) for the period 02/10/2000-10/10/2012.