THE STUDY OF MEAN REVERSION IN TEHRAN SECURITY EXCHANGE USING VARIANCE RATIO TEST

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TEHRANI REZA; ANSARI H.A.; SARANJ A.R.

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Journal Paper

Paper Information

Journal: THE IRANIAN ACCOUNTING AND AUDITING REVIEW Year:2009 | Volume:15 | Issue:54 Page(s): 17-32

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Title

THE STUDY OF MEAN REVERSION IN TEHRAN SECURITY EXCHANGE USING VARIANCE RATIO TEST

Author(s)

TEHRANI REZA | ANSARI H.A. | SARANJ A.R. | Issue Writer Certificate

Keywords

MEAN REVERSIONQ2

RANDOM WALKQ3

EFFICIENT MARKETQ2

VARIANCE RATIO TESTQ3

Abstract

Based on EFFICIENT MARKET hypothesis the stock prices follow RANDOM WALK process. In such market the stock return cannot be predicted using past price variation. However, EFFICIENT MARKET hypothesis is under question because the researchers have provided evidences that reveal some anomalies in stock markets. MEAN REVERSION is one of these anomalies. Therefore this study aimed at investigating MEAN REVERSION in Tehran Security Exchange. For the purpose of the study, VARIANCE RATIO TEST was used to examine MEAN REVERSION in three indexes of TEPIX, TEDPIX, and 50 most traded at different time periods. The obtained results confirmed MEAN REVERSION in TEPIX, TEDPIX during the most time period. This is while, the 50 most traded indexes have followed RANDOM WALK from 1384to 1387 and during most time intervals.

Cites

References

AN INVESTIGATION OF IMPLEMENTING CONTRARIAN TRADING STRATEGY IN TEHRAN STOCK EXCHANGE (TSE)

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APA: Copy

TEHRANI, REZA, ANSARI, H.A., & SARANJ, A.R.. (2009). THE STUDY OF MEAN REVERSION IN TEHRAN SECURITY EXCHANGE USING VARIANCE RATIO TEST. THE IRANIAN ACCOUNTING AND AUDITING REVIEW, 15(54), 17-32. SID. https://sid.ir/paper/8191/en

Vancouver: Copy

TEHRANI REZA, ANSARI H.A., SARANJ A.R.. THE STUDY OF MEAN REVERSION IN TEHRAN SECURITY EXCHANGE USING VARIANCE RATIO TEST. THE IRANIAN ACCOUNTING AND AUDITING REVIEW[Internet]. 2009;15(54):17-32. Available from: https://sid.ir/paper/8191/en

IEEE: Copy

REZA TEHRANI, H.A. ANSARI, and A.R. SARANJ, “THE STUDY OF MEAN REVERSION IN TEHRAN SECURITY EXCHANGE USING VARIANCE RATIO TEST,” THE IRANIAN ACCOUNTING AND AUDITING REVIEW, vol. 15, no. 54, pp. 17–32, 2009, [Online]. Available: https://sid.ir/paper/8191/en

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