"Eficiencia en el Mercado Accionario: Nueva Evidencia para el Caso Mexicano "

Abstract

This article uses bootstrap techniques to determine whether the exchange market in Mexico, during the period 1997-2011, is efficient or not. To the best of our knowledge, although this methodology is not new, it has not yet been applied to the case of Mexico. Based on the daily changes of observed exchange rates random sequences of prices are generated to obtain the empirical distribution of returns under two well known trading rules: filter and moving average. Further, we determine if, for each trading rule, the returns obtained with the series of prices actually observed belong to the corresponding empirical distribution, in which case the foreign exchange market will be consistent with the efficiency hypothesis. Our results suggest that there is no evidence to reject the efficiency hypothesis in the foreign exchange Mexican market for the period considered in this study.