Analysis of the January Effect in Time Series of Mexican Stock Market Indexes

Authors

DOI:

https://doi.org/10.32870/myn.v0i40.7371

Keywords:

Efficient Market Hypothesis, calendar anomalies, January effect, Mexican stock market.

Abstract

The current article has the research objective to search for empirical evidence of the January effect within the time series of the IPC and the sector indexes of the Mexican stock market using econometric GARCH analysis. The dataset is formed by the log returns of the daily closing prices corresponding to the IPC as well as the sector indexes covering the period from 01/01/2010 to 12/31/2018. The main results of the article are as follows: Based on the January effect the Efficient Market Hypothesis in its weak form sense cannot be rejected for the Mexican stock market as the results do not provide significant evidence of the existence of the respective calendar anomaly within the analyzed time series of the IPC and the different sector indexes.

Author Biography

Michael Demmler, Universidad Autónoma de Querétaro

Nacido en 1982 en Alemania. Hizo su licenciatura en Economía Bancaria de 2002 a 2005, su maestría en Administración de Empresas en la Universidad de Freiberg (2005-2008) y su doctorado en Ciencias Económicas en la Universidad de Bayreuth (2008-2014). Dr. Michael Demmler se mudó con su familia de Alemania a México en 2014 y entró a la Universidad Autónoma de Querétaro en julio del mismo año. Está trabajando en el posgrado de la Facultad de Contaduría y Administración. Da clases de finanzas, riesgos y técnicas de investigación al nivel licenciatura, maestría y doctorado. Además, es el Coordinador del Doctorado en Ciencias Económico Administrativas de la UAQ. Dr. Michael Demmler es integrante del Sistema Nacional de Investigadores (Nivel I) y su enfoque en la investigación es en los áreas de finanzas conductuales, burbujas financieras y cultura organizacional.

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Published

2019-07-05

How to Cite

Garay Alvarado, M., & Demmler, M. (2019). Analysis of the January Effect in Time Series of Mexican Stock Market Indexes. Mercados Y Negocios, (40), 43–62. https://doi.org/10.32870/myn.v0i40.7371