Asymptotic behavior of the daily increment distribution of the IPC, the mexican stock market index

H.F. Coronel-Brizio, A.R. Hernández-Monto, a.

Abstract


In this work, a statistical analysis of the distribution of daily fluctuations of the IPC, the Mexican Stock Market Index is presented. A sample of the IPC covering the 13-year period 04/19/1990 - 08/21/2003 was analyzed and the cumulative probability distribution of its daily logarithmic variations studied. Results show that the cumulative distribution function for extreme variations, can be described by a Pareto-Lev\'y model with shape parameters $\alpha=3.634 \pm 0.272$ and $\alpha=3.540 \pm 0.278$ for its positive and negative tails, respectively. This result is consistent with previous studies, where it has been found that $2.5<\alpha<4$ for other financial markets worldwide.

Keywords


Econophysics; stock market; Power-Law; stable distribution; Lev\'y regime

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REVISTA MEXICANA DE FÍSICA, year 67, issue 2, March-April 2021. Bimonthly Journal published by Sociedad Mexicana de Física, A. C. Departamento de Física, 2º Piso, Facultad de Ciencias, Universidad Nacional Autónoma de México, Ciudad Universitaria, Alcaldía Coyacán, C.P. 04510 , Ciudad de México. Apartado Postal 70-348. Tel. (+52)55-5622-4946, https://rmf.smf.mx/ojs/rmf, e-mail: rmf@ciencias.unam.mx. Chief Editor: José Alejandro Ayala Mercado. INDAUTOR Certificate of Reserve: 04-2019-080216404400-203, ISSN: 2683-2224 (on line), 0035-001X (print), both granted by Instituto Nacional del Derecho de Autor. Responsible for the last update of this issue, Technical Staff of Sociedad Mexicana de Física, A. C., Fís. Efraín Garrido Román, 2º. Piso, Facultad de Ciencias, Universidad Nacional Autónoma de México, Ciudad Universitaria, Alcaldía Coyacán, C.P. 04510 , Ciudad de México. Date of last modification, March 1st., 2021.

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