Evaluation of long-term memory Tehran Stock Exchange index

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MORADI MAHDI; Esmailpour Mostafa

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Journal: Monetary and Financial Economics Year:2019 | Volume:25 (new) | Issue:16 Page(s): 21-47

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Title

Evaluation of long-term memory Tehran Stock Exchange index

Author(s)

MORADI MAHDI | Esmailpour Mostafa | Issue Writer Certificate

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Abstract

The results of various studies on the efficiency of some stock exchanges show that these markets are inefficient even in weak form. Therefore, considering the inefficiencies of these markets, one can conclude that by trading on the basis of a set of information, economic profit can be obtained. It can also be said that inefficiency is a sign that models can be designed to generate unusual profits. Many studies designed to evaluate the long-term memory and prediction of future models is conducted. In this research, we tried to use an ARFIMA method and a periodogram analysis method (which is a time series analysis method) from another angle to study long-term memory as well as prediction model design. The main objective of this research is the analysis of time series of total، financial and industry index on a daily basis from 27 to 2015/07/15 has been collected. The results show that the index of Tehran Stock Exchange has a memory with the long-term، also the periodogram analysis method is the best method for the prediction of the stock exchange and in the end it can be stated that the ulterior period (repeatableperiod) is exsintence in the index exchange data.

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APA: Copy

MORADI, MAHDI, & Esmailpour, Mostafa. (2019). Evaluation of long-term memory Tehran Stock Exchange index. JOURNAL OF MONETARY & FINANCIAL ECONOMICS, 25 (new)(16 ), 21-47. SID. https://sid.ir/paper/383012/en

Vancouver: Copy

MORADI MAHDI, Esmailpour Mostafa. Evaluation of long-term memory Tehran Stock Exchange index. JOURNAL OF MONETARY & FINANCIAL ECONOMICS[Internet]. 2019;25 (new)(16 ):21-47. Available from: https://sid.ir/paper/383012/en

IEEE: Copy

MAHDI MORADI, and Mostafa Esmailpour, “Evaluation of long-term memory Tehran Stock Exchange index,” JOURNAL OF MONETARY & FINANCIAL ECONOMICS, vol. 25 (new), no. 16 , pp. 21–47, 2019, [Online]. Available: https://sid.ir/paper/383012/en

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