Abstract
PROOF IS OFFERED IN THIS PAPER THAT THE RETURNS OF THE STOCKS NEGOTIATED IN THE MEXICAN STOCK EXCHANGE, AND ITS OWN INDEX, DO NOT COMPLY WITH TWO OF THE ASSUMPTIONS ON WHICH A GOOD DEAL OF THE MODERN PORTFOLIO THEORY IS BASED. THESE ASSUMPTIONS ARE THAT THE SERIES ARE NORMALLY DISTRIBUTED AND THAT THE SUCCESSIVE RETURNS ARE INDEPENDENT. THE RANDOM WALK THEORY AND THE EFFICIENT MARKET HYPOTHESIS ARE REVIEWED, TOGETHER WITH THE NORMALITY OF THE STOCK MARKET RETURNS, TO SHOW THAT IN BOTH CASES, THE SUPPOSITIONS DO NOT APPLY TO PRICE SERIES OF THE MEXICAN STOCK MARKET. ALSO, IT IS SHOWN HOW THE TIME SERIES OF STOCK RETURNS HAVE FRACTAL CHARACTERISTICS TO WHICH A METHOD KNOWN AS "RESCALED RANGE ANALYSIS" CAN BE APPLIED, AS A FRACTAL AND ADDITIONAL TECHNIQUE, IN ORDER TO PROVE THAT, INDEED, THERE IS DEPENDENCE AMONG THE SUCCESSIVE STOCK RETURNS. IT IS POINTED OUT THAT IT IS NECESSARY TO APPLY MODELS THAT DO NOT INCLUDE THESE SUPPOSITIONS SO AS TO OBTAIN BETTER DESCRIPTIONS OF REALITY AND BETTER PRICE FORECASTS© 2018, Facultad de Contaduría y Administración, Universidad Nacional Autónoma de México. All rights reserved. Publication of the article implies full assignment of property rights (copyright) in Journal of Contaduría y Administración. The publication mreserves the right to total or partial reproduction of the work in other print, electronic or any other alternative means, but always recognizing its responsibility.
License for Published Content
Unless otherwise stated, all contents of the electronic edition of the journal are distributed under a license and distribution "Creative Commons Attribution-Noncommercial 4.0 International" (CC-by). You can see from here the version of the license information. This circumstance must be expressly stated in this way when necessary.
Metadata License
The metadata of papers published by Contaduría y Administración are in the public domain, through the publisher's waiver of all rights to the work under copyright law worldwide, including all rights and related rights, to the extent permitted by law. You may copy, modify, and distribute the metadata, even for commercial purposes, without requesting permission.
