This thesis can be seen as a collection of three papers analyzing several facets of the Mexican stock market, each of them with their own objectives, hypothesis and methodology. The objective of the first chapter is to determine if in México the financial sector causes economic growth as postulated in the "supply leading hypothesis". According to the results, VEC and ADL models confirm that the stock market causes economic growth, whereas only the VEC estimates confirm that banks contribute to growth. Causality is unidirectional. The second chapter of this work analyzes the impact in profitability of affiliated firms to a business group and listed in the Mexican stock exchange. The aim of this chapter is twofold: a) provide evidence if affiliated firms are more profitable and b) if firms belonging to a business group carry out the rent extraction practice known as tunneling. This work presents evidence from a large data collection covering all the firms still and once listed in the local stock market from 1990 to 2012. Consequently, is important to mention that an unbalanced panel is utilized, and to avoid endogeneity bias the Generalized Method of Moments that allow the use of instruments is employed. According to the results, firms affiliated to business groups tend to have higher levels of profitability, however during recessions they carry out the practice of tunneling. Although this is undesirable, is pertinent to say that this phenomenon is not permanent. The objective of chapter 3 is to present evidence that market return is the only pricing factor needed for modeling stock returns. The Transfer Function Model was designed to exploit the structure of current and lagged information of one explanatory variable and the ARIMA terms. This work can offer a new methodology for price discovery that improves the market model estimations.