Resumen

This thesis analyses the post reactions to large daily price shocks on the Mexican capital aggregate market using data on daily returns of its main Index (IPC) from 2009 through 2018. It uses a variety of statistical tests and an event and post event study based on the means from the returns of both event and post event returns. On the whole, this thesis suggests that the market tends to both overreact and underreact to price shocks, in both cases, positive and negative price shocks. In essence, when there is a negative price shock, the market tends to overreact a slightly more than half of the times, while the rest of the times underreacts. While on the other side, when there is a positive price shock, the market underreacts slightly more than half of the times while the rest of the times overreacts. As new negative information appears, it causes prices to significantly drop, the panic and fear among market participants rise which is the cause of overreaction. On the other side, as new positive information is released, it causes prices to rise, thus, investors to feel more confident on gains, and there is a rise in greed among market participants pushing prices higher as under reaction occurs. Theories from Behavioral Finance can potentially explain the relationship between the market price shocks and the post event market reactions. Although the mentioned above may be true, one possibility to explain the market anomalies are the deviations to be expected under the Efficient Market Hypothesis. However, this thesis work is based on behavioral finance theories which suggest potential explanation on this work

Palabras clave: Behavioral Finance.

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Table of content

Portada

Agradecimientos y Dedicatorias

Índices

Capítulo 1. Introduction

Capítulo 2. Literature Review

Capítulo 3. Data and Methodology

Capítulo 4. Results

Capítulo 5. Results Analysis

Capítulo 6. Conclusions

Referencias

Full document (archivo pdf, 1 mb)

Trueba Patiño, J. 2018. Reactions of the Mexican Stock Exchange Aggregate Market to Large Daily Price Shocks: A Behavioral Finance Analysis. Tesis Licenciatura. Estrategias Financieras y Contaduría Pública. Departamento de Finanzas y Contaduría, Escuela de Negocios y Economía, Universidad de las Américas Puebla. Mayo. Derechos Reservados © 2018.