The Hurst Exponent and the Share Price Memory of the Frequent Consumer Goods Stock in the S&P/BMV IPC Index
Keywords:
Hurst exponent, Fractal dimension, Fractional Brownian motion, Normality tests, Jarque–Bera testAbstract
http://doi.org/10.5281/zenodo.7415892
The purpose of this paper is to study the behavior trend and memory of the prices of the shares that make up the S&P/BMV IPC index of the Mexican stock market, as well as the behavior of returns over time, for this purpose applies the Jarque-Bera test as a normality test, which shows non-normality in the returns generated by the stations, and mainly the Hurst exponent as a measure of price memory, with which it is concluded that 32 of 34 stations of the index show a persistent behavior, with a momentum or trend in the same direction and 6 of 8 issuers in the sector under study have the same behavior.
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Copyright (c) 2022 Hilda Esperanza Álvarez Tostado Ceballos, Doctor Arturo Morales Castro, Doctor Pedro Enrique Lizola Margolis
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