Abstract

RODRIGUEZ VAZQUEZ, Verónica Patricia; AVILA ESPINOSA, Maribel  and  TORRES GONZALEZ, Alejandra. Speed of price adjustment by economic sector in the mexican stock market. Contad. Adm [online]. 2009, n.228, pp.67-81. ISSN 0186-1042.

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.

Keywords : mexican stock markets; price adjustment; IPC; index of equity returns.

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