On the scaling of the distribution of daily price fluctuations in the Mexican financial market index

In this paper, a statistical analysis of log-return fluctuations of the IPC, the Mexican Stock Market Index is presented. A sample of daily data covering the period from 04/09/2000–04/09/2010 was analyzed, and fitted to different distributions. Tests of the goodness of fit were performed in order to quantitatively asses the quality of the estimation. Special attention was paid to the impact of the size of the sample on the estimated decay of the distributions tail. In this study a forceful rejection of normality was obtained. On the other hand, the null hypothesis that the log-fluctuations are fitted to a α -stable Lévy distribution cannot be rejected at the 5 % significance level.