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

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


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.


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

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