ANALYSING LONG RUN MEMORY IN TEHRAN STOCK EXCHANGE

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

MOHAMMADI SHAPOUR; CHITSAZAN HASTI

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: Journal of Economic Research Year:2012 | Volume:46 | Issue:97 Page(s): 207-226

Download Full-Text

Persian Verion

View:

1,691

Download:

Cites:

Information Journal Paper

Title

ANALYSING LONG RUN MEMORY IN TEHRAN STOCK EXCHANGE

Author(s)

MOHAMMADI SHAPOUR | CHITSAZAN HASTI | Issue Writer Certificate

Keywords

FRACTIONAL INTEGRATIONQ3

FRACTIONAL DIFFERENCINGQ2

ARFIMA MODELQ2

LONG MEMORYQ3

STOCK MARKETQ2

TIME SERIESQ2

Abstract

In this paper, we have estimated the memory of theTehran stock exchange indices. The estimation of FRACTIONAL DIFFERENCING parameter is carried out by various methods such as MLE, NLS, Hurst Exponent, GPH, Lo, whittle and wavelet.The estimation results of whittle, wavelet, Hurst, and Lo methods allow us to conclude that the returns on stock indices (TEPIX, TEDPIX, TEDIX, Financial index and Industrial index) have LONG MEMORY. The results obtained from GPH method show the existence of LONG MEMORY in all indices of the Tehran STOCK MARKET with the exception of TEDIX.Since estimations which obtained from ML and NLS methods are not significant in almost all intervals, we do not use them for studying the trend of the market’s memory.The results also show the memory of the Tehran stock exchange does not have an important trend. In the other words, in our study period the efficiency of the market does not show any significant changes.

Cites

No record.

References

Cite

APA: Copy

MOHAMMADI, SHAPOUR, & CHITSAZAN, HASTI. (2012). ANALYSING LONG RUN MEMORY IN TEHRAN STOCK EXCHANGE. TAHGHIGHAT-E-EGHTESADI, 46(97), 207-226. SID. https://sid.ir/paper/11976/en

Vancouver: Copy

MOHAMMADI SHAPOUR, CHITSAZAN HASTI. ANALYSING LONG RUN MEMORY IN TEHRAN STOCK EXCHANGE. TAHGHIGHAT-E-EGHTESADI[Internet]. 2012;46(97):207-226. Available from: https://sid.ir/paper/11976/en

IEEE: Copy

SHAPOUR MOHAMMADI, and HASTI CHITSAZAN, “ANALYSING LONG RUN MEMORY IN TEHRAN STOCK EXCHANGE,” TAHGHIGHAT-E-EGHTESADI, vol. 46, no. 97, pp. 207–226, 2012, [Online]. Available: https://sid.ir/paper/11976/en

Related Journal Papers