Resumo

DIAZ MATA, Alfredo. Some Consideration about Using Fractal Techniques in the Mexican Stock Exchange. Contad. Adm [online]. 2008, n.224, pp.35-57. ISSN 0186-1042.

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.

Palavras-chave : fractals; rescaled range analysis; Mexican stock market.

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