Keywords
PRICE ADJUSTMENT
IPC
INDEX OF EQUITY RETURNS
How to Cite
Abstract
BUILDING ON THE WORK OF MARSHALL AND WALKER (2002) THIS PAPER ANALYZES THE SPEED OF PRICE ADJUSTMENT TO SIZE AND TRADE VOLUME IN THE MEXICAN STOCK MARKETS FROM JANUARY 1998 TO DECEMBER 2007. SHARES ARE GROUPED BY ECONOMIC SECTORS AND THEN COMPARED WITH THE INDEX OF EQUITY RETURNS (ÍNDICE DE PRECIOS Y COTIZACIONES, IPC). ECONOMIC SECTORS ARE GROUPED INTO STRONG AND WEAK ONES, DEPENDING UPON THEIR INFLUENCE ON THE IPC INDEX. AMONG THE STRONG SECTORS WE FIND COMMUNICATIONS AND TRANSPORTATION, COMMERCE, CONSTRUCTION AND EXTRACTIVE INDUSTRIES. ON THE OTHER HAND, AMONG THE WEAK SECTORS WE FIND TRANSFORMATION INDUSTRY, SERVICES AND MISCELLANEOUS. RESULTS SHOW THAT STRONG SECTORS ADJUST THEIR PRICES FASTER THAN THE WEAK ONES WITH RESPECT TO MARKET RETURNS.© 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.
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