EVALUATING METHODS OF THE SHARE PRICE FORECASTABILITY IN TEHRAN STOCK EXCHANGE

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KHALOUZADEH H.; KHAKI SEDIGH A.

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Journal: MODARRES HUMAN SCIENCES Year:2003 | Volume:7 | Issue:3(Tome 30) Page(s): 61-88

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Title

EVALUATING METHODS OF THE SHARE PRICE FORECASTABILITY IN TEHRAN STOCK EXCHANGE

Author(s)

KHALOUZADEH H. | KHAKI SEDIGH A. | Issue Writer Certificate

Keywords

TIME SERIESQ3

FORECASTABILITYQ4

NONLINEAR ANALYSIS OF TIME SERIESQ4

NONLINEARQ4

CHAOTIC AND STOCHASTIC PROCESSQ4

LYAPUNOV EXPONENTQ4

CORRELATION DIMENSION ESTIMATE.Q4

Abstract

In this paper, we deal with several TIME SERIES of daily share prices and daily returns ‎of different companies which are members of the Tehran Stock Exchange. Three ‎forecastability methods as NONLINEAR mathematical analysis were applied to the data ‎obtained for daily share prices and daily returns in Tehran Stock Exchange during ‎three and half years. The characteristics of the process associated with these time ‎series were analyzed‏. ‏‎‎ Analyzing the behavior of the TIME SERIES associated with these companies is ‎indicative of their short-term predictability nature. However, using analysis regarding ‎the CORRELATION DIMENSION ESTIMATE. indicated that only the TIME SERIES information are ‎not adequate for prediction and other appropriate variables must also be used. Also, ‎using a Rescaled-range analysis, showed that past information have long term effects ‎on the market and are useful in the process of prediction. Also, the analysis of the ‎Largest LYAPUNOV EXPONENT estimate revealed a weakly chaotic behavior and ‎indicated that TIME SERIES data cannot be used in the prediction process after a certain ‎time‏.‏‎‎ It is shown the TIME SERIES generator process of these companies are complex ‎nonlinear mappings and the methods based on the various linear modeling strategies ‎are unable to identify these dynamics‏.‏

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APA: Copy

KHALOUZADEH, H., & KHAKI SEDIGH, A.. (2003). EVALUATING METHODS OF THE SHARE PRICE FORECASTABILITY IN TEHRAN STOCK EXCHANGE. MODARRES HUMAN SCIENCES, 7(3(Tome 30)), 61-88. SID. https://sid.ir/paper/6989/en

Vancouver: Copy

KHALOUZADEH H., KHAKI SEDIGH A.. EVALUATING METHODS OF THE SHARE PRICE FORECASTABILITY IN TEHRAN STOCK EXCHANGE. MODARRES HUMAN SCIENCES[Internet]. 2003;7(3(Tome 30)):61-88. Available from: https://sid.ir/paper/6989/en

IEEE: Copy

H. KHALOUZADEH, and A. KHAKI SEDIGH, “EVALUATING METHODS OF THE SHARE PRICE FORECASTABILITY IN TEHRAN STOCK EXCHANGE,” MODARRES HUMAN SCIENCES, vol. 7, no. 3(Tome 30), pp. 61–88, 2003, [Online]. Available: https://sid.ir/paper/6989/en

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