  We present some stylized facts exhibited by the time series of returns of the
Mexican Stock Exchange Index (IPC) and compare them to a sample of both
developed (USA, UK and Japan) and emerging markets (Brazil and India). The
period of study is 1997-2011. The stylized facts are related mostly to the
probability distribution func- tion and the autocorrelation function (e.g. fat
tails, non-normality, volatility cluster- ing, among others). We find that
positive skewness for returns in Mexico and Brazil, but not in the rest,
suggest investment opportunities. Evidence of nonlinearity is also documented.
