A STUDY ON THE WEAK FORM OF EFFICIENCY IN EMERGING CAPITAL MARKETS: EVIDENCES FROM TEHRAN STOCK EXCHANGE (TSE)

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DEHDAR F.; AGHAEE M.A.

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Journal: DANESHVAR RAFTAR Year:2010 | Volume:16 | Issue:38 (SPECIAL EDITION ON MANAGEMENT AND ACHIEVEMENT) Page(s): 59-70

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Title

A STUDY ON THE WEAK FORM OF EFFICIENCY IN EMERGING CAPITAL MARKETS: EVIDENCES FROM TEHRAN STOCK EXCHANGE (TSE)

Author(s)

DEHDAR F. | AGHAEE M.A. | Issue Writer Certificate

Keywords

WEAK FORM OF THE CAPITAL MARKET EFFICIENCYQ3

EFFICIENT CAPITAL MARKET HYPOTHESISQ3

AUTO-CORRELATION COEFFICIENTQ3

AUTO- EMERGING CAPITAL MARKETSQ3

Abstract

So far, most of the studies on the Efficient Market Hypothesis have been devoted to the U.S as well as European capital markets, whereas just a few number of such researches have been conducted in undeveloped (less developed) countries in general, and Tehran Stock Exchange (TSE) in particular. The research examines some evidences indicating the lowest status of the Weak Form of EFFICIENT CAPITAL MARKET HYPOTHESIS in TSE. The sample includes 30 companies registered with the TSE selected using the simple random sampling method. Timing of the study is restricted to the financial years within 1378 to 1384 (in solar calendar). The research is to answer the question if the TSE operates at the Weak Form of EFFICIENT CAPITAL MARKET HYPOTHESIS. Findings of the study supported by the results of the Parametric and Non-parametric tests indicate that the time-series of stock returns are not consistent with the Random Walk Theory and that the AUTO-CORRELATION COEFFICIENT rejects the Null Hypothesis at different statistical intervals and levels of assuming a Weak Form of EFFICIENT CAPITAL MARKET HYPOTHESIS.To keep such studies (on the Weak Form of EFFICIENT CAPITAL MARKET HYPOTHESIS in less developed countries) being regularly conducted has the potential to considerably support the laws and regulations directing the capital market, and to enrich the supervising standards and to optimize the decisions made by the investors.

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APA: Copy

DEHDAR, F., & AGHAEE, M.A.. (2010). A STUDY ON THE WEAK FORM OF EFFICIENCY IN EMERGING CAPITAL MARKETS: EVIDENCES FROM TEHRAN STOCK EXCHANGE (TSE). DANESHVAR RAFTAR, 16(38 (SPECIAL EDITION ON MANAGEMENT AND ACHIEVEMENT)), 59-70. SID. https://sid.ir/paper/46365/en

Vancouver: Copy

DEHDAR F., AGHAEE M.A.. A STUDY ON THE WEAK FORM OF EFFICIENCY IN EMERGING CAPITAL MARKETS: EVIDENCES FROM TEHRAN STOCK EXCHANGE (TSE). DANESHVAR RAFTAR[Internet]. 2010;16(38 (SPECIAL EDITION ON MANAGEMENT AND ACHIEVEMENT)):59-70. Available from: https://sid.ir/paper/46365/en

IEEE: Copy

F. DEHDAR, and M.A. AGHAEE, “A STUDY ON THE WEAK FORM OF EFFICIENCY IN EMERGING CAPITAL MARKETS: EVIDENCES FROM TEHRAN STOCK EXCHANGE (TSE),” DANESHVAR RAFTAR, vol. 16, no. 38 (SPECIAL EDITION ON MANAGEMENT AND ACHIEVEMENT), pp. 59–70, 2010, [Online]. Available: https://sid.ir/paper/46365/en

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