Momentum Effect on the Mexican Stock Exchange

20 Pages Posted: 21 Feb 2014

See all articles by Mauricio Cervantes

Mauricio Cervantes

Instituto Tecnolo´gico y de Estudios Superiors de Monterrey

Miguel A. Montoya

Instituto Tecnológico de Estudios Superiores de Monterrey

Diego C. Cueto

ESAN Graduate School of Business

Date Written: January 1, 2014

Abstract

The main objective of this research is to analyze whether the momentum effect (Jegadeesh, 1990) and the long-term reverse effect (DeBondt and Thaler, 1985) are observed at the Mexican Stock Exchange, their magnitude, and their significance. These anomalies challenge the efficient market hypothesis. In tests conducted in the United States results have shown strong and persistent. In this paper, the results for the 1993-2006 period suggest that neither a momentum strategy nor a contrarian strategy would yield significant returns in the Mexican Stock Exchange.

Keywords: International Finance, Investment Decisions, Asset Pricing, Market Efficiency

JEL Classification: F30, G11, G12, G14

Suggested Citation

Cervantes-Zepeda, Mauricio and Montoya, Miguel A. and Cueto, Diego C., Momentum Effect on the Mexican Stock Exchange (January 1, 2014). Available at SSRN: https://ssrn.com/abstract=2392467 or http://dx.doi.org/10.2139/ssrn.2392467

Mauricio Cervantes-Zepeda (Contact Author)

Instituto Tecnolo´gico y de Estudios Superiors de Monterrey ( email )

Ramon Corona 2514
Zapopan, Jal. 45201
Mexico
+52 3336693000 (Phone)

Miguel A. Montoya

Instituto Tecnológico de Estudios Superiores de Monterrey ( email )

Av. General Ramón Corona No.2514
Zapopan, Jalisco, 45201
Mexico
523336693000 (Phone)

HOME PAGE: http://www.itesm.mx/wps/wcm/connect/Campus/GDA/Guadalajara/

Diego C. Cueto

ESAN Graduate School of Business ( email )

Alonso de Molina 1652
Lima 33
Peru
(511) 317-7200 (Phone)
(511) 345-1328 (Fax)

HOME PAGE: http://www.esan.edu.pe/

Register to save articles to
your library

Register

Paper statistics

Downloads
113
Abstract Views
628
rank
243,349
PlumX Metrics