Adaptive Market Hypothesis: Evidence from the Mexican Stock Exchange Index
Adaptive Market Hypothesis: Evidence from the Mexican Stock Exchange Index

Summary/Abstract: This paper is aimed at studying the Adaptive Market Hypothesis (AMH) of the Mexican Stock Exchange Index (IPC, for its acronym in Spanish). To do this, we apply: 1) unit-root tests, 2) nonlinear tests, and 3) episodic nonlinearity tests. The main empirical finding is that the IPC goes through plenty of periods where the market behaves in an efficient way. That is, as a random walk, followed by some periods of adaptability where non-linearity in the series of the IPC returns is found.

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