STUDYING LONG MEMORY OF TEHRAN STOCK EXCHANGE

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NIKOOMARAM H.; SAEEDI A.; ANBARESTANI M.

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2012 | Volume:2 | Issue:9 Page(s): 47-64

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Title

STUDYING LONG MEMORY OF TEHRAN STOCK EXCHANGE

Author(s)

NIKOOMARAM H. | SAEEDI A. | ANBARESTANI M. | Issue Writer Certificate

Keywords

RANDOM WALK THEORYQ2

INDEXQ2

TIME SERIESQ2

LONG MEMORYQ2

TEHRAN STOCK EXCHANGEQ2

WEAK FORM OF EFFICIENT MARKET HYPOTHESISQ2

Abstract

According to the efficient market hypothesis, prices in stock market follow the RANDOM WALK THEORY. In such market, data are published rapidly and affect on stock price, so stock returns can not be predicted based on past prices. So a large proportion of financial theory is extended based on random walk models for asset prices and returnes. LONG MEMORY is one of violation of efficient market that tells TIME SERIES of capital market INDEX do not follow from RANDOM WALK THEORY. This study examined LONG MEMORY as one of the properties of TIME SERIES for Tehran dividend stock price INDEX and industrial INDEX. to test the assumptions, Autoregressive Fractionally Integrated Moving Average (ARFIMA) model is used. The results indicated that the concept of LONG MEMORY existed for two INDEX in TEHRAN STOCK EXCHANGE.

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APA: Copy

NIKOOMARAM, H., SAEEDI, A., & ANBARESTANI, M.. (2012). STUDYING LONG MEMORY OF TEHRAN STOCK EXCHANGE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 2(9), 47-64. SID. https://sid.ir/paper/197877/en

Vancouver: Copy

NIKOOMARAM H., SAEEDI A., ANBARESTANI M.. STUDYING LONG MEMORY OF TEHRAN STOCK EXCHANGE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2012;2(9):47-64. Available from: https://sid.ir/paper/197877/en

IEEE: Copy

H. NIKOOMARAM, A. SAEEDI, and M. ANBARESTANI, “STUDYING LONG MEMORY OF TEHRAN STOCK EXCHANGE,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 2, no. 9, pp. 47–64, 2012, [Online]. Available: https://sid.ir/paper/197877/en

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