Evaluation of market efficiency with using advanced econometric models in Tehran Stock Exchange

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Jouzbarkand Mohammad; panahian hosein

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Title

Evaluation of market efficiency with using advanced econometric models in Tehran Stock Exchange

Author(s)

Jouzbarkand Mohammad | panahian hosein | Issue Writer Certificate

Keywords

market efficiencyQ1

Arch modelQ1

GARCH ModelQ1

Total indexQ2

price indexQ2

Abstract

This study is an attempt to introduce a suitable model to evaluate the efficiency of capital market in Iran. Optimal allocation of resources in micro and macro investments is essential to the capital market. The main task of the capital market is to streamline capital and allocate resources effectively. Investigating what factor or factors influence the market price of a share in market and whether there is a systematic pattern of pricing a share is In terms of market efficiency. In this regard, the daily data of the Tehran Stock Exchange Index and Total price index during 2008-2018 have been used. ARCH, GARCH and Kalman filters were used to perform the test. The results of the tests show that there is no weak form of market efficiency in the Tehran Stock Exchange. And this inefficiency has not changed significantly since the first period. In other words, it is possible to predict returns in the Tehran stock market.

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APA: Copy

Jouzbarkand, Mohammad, & panahian, hosein. (2020). Evaluation of market efficiency with using advanced econometric models in Tehran Stock Exchange. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 11(43 ), 76-105. SID. https://sid.ir/paper/371868/en

Vancouver: Copy

Jouzbarkand Mohammad, panahian hosein. Evaluation of market efficiency with using advanced econometric models in Tehran Stock Exchange. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2020;11(43 ):76-105. Available from: https://sid.ir/paper/371868/en

IEEE: Copy

Mohammad Jouzbarkand, and hosein panahian, “Evaluation of market efficiency with using advanced econometric models in Tehran Stock Exchange,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 11, no. 43 , pp. 76–105, 2020, [Online]. Available: https://sid.ir/paper/371868/en

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