THE EFFICIENCY OF TEHRAN STOCK EXCHANGE

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NASR ELAHI Z.

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Journal: RESEARCH BULLETIN OF ISFAHAN UNIVERSITY (HUMANITIES) Year:2004 | Volume:16 | Issue:1 Page(s): 0-0

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Title

THE EFFICIENCY OF TEHRAN STOCK EXCHANGE

Author(s)

NASR ELAHI Z. | Issue Writer Certificate

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Abstract

The basic rational for the theory of the efficient market model stems from the assumption that in such a market prices promptly adjust to reflect all knowable information. The future price changes, although a true reflection of changes in the earning power of firms, reach the market randomly and are independent of the past information. Future price changes, therefore are random and a function of future, not past events. The efficient market model describes that the return on and hence the price of securities depends on multiple forces. The first major force is the impact of market movements on price changes of individual securities, which is outside the control of the investors and of the firms in the market. Other forces such as industry impact, firm"s influence, etc cause the rest of the variations in prices. The industry and firm"s factors can be eliminated by appropriate portfolio diversification. Consequently only the market compensates the risk associated with market movements. Diversifiable and the non-diversifiable components together comprise the total variance or standard deviation of return for a particular security. The aim of this paper is to study the efficiency of Tehran Stock Exchange (TSE). In doing so, with the use of the OLS and capital asset pricing model (CAPM), we have estimated the characteristic line and the security market line. The results show that there is a linear relationship between risks and return; in other word, the result is not strong enough for rejecting the efficiency of TSE, but according to estimated equation there are over (under) valued securities in the market.

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APA: Copy

NASR ELAHI, Z.. (2004). THE EFFICIENCY OF TEHRAN STOCK EXCHANGE. RESEARCH BULLETIN OF ISFAHAN UNIVERSITY (HUMANITIES), 16(1), 0-0. SID. https://sid.ir/paper/542256/en

Vancouver: Copy

NASR ELAHI Z.. THE EFFICIENCY OF TEHRAN STOCK EXCHANGE. RESEARCH BULLETIN OF ISFAHAN UNIVERSITY (HUMANITIES)[Internet]. 2004;16(1):0-0. Available from: https://sid.ir/paper/542256/en

IEEE: Copy

Z. NASR ELAHI, “THE EFFICIENCY OF TEHRAN STOCK EXCHANGE,” RESEARCH BULLETIN OF ISFAHAN UNIVERSITY (HUMANITIES), vol. 16, no. 1, pp. 0–0, 2004, [Online]. Available: https://sid.ir/paper/542256/en

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