A SURVEY OF MARKET EFFICIENCY IN TEHRAN STOCK EXCHANGE (TSE)

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

NOORBAKHSH ASGAR; ASGARI GHOLAMREZA; NASIRI ROOHOLLAH

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: THE IRANIAN ACCOUNTING AND AUDITING REVIEW Year:2011 | Volume:17 | Issue:62 Page(s): 103-116

Download Full-Text

Persian Verion

View:

1,005

Download:

Cites:

Information Journal Paper

Title

A SURVEY OF MARKET EFFICIENCY IN TEHRAN STOCK EXCHANGE (TSE)

Author(s)

NOORBAKHSH ASGAR | ASGARI GHOLAMREZA | NASIRI ROOHOLLAH | Issue Writer Certificate

Keywords

EFFICIENCYQ3

RANDOM WALKQ3

ARIMA MODELQ3

WEAK FORM OF THE EFFICIENT MARKETSQ2

Abstract

This study seeks evidence on whether the return series on Tehran Stock Exchange (TSE) is independent and follows the RANDOM WALK model. Two hypotheses introduced to attaining this goal. First, Price series follows the RANDOM WALK model and are independent. Second, Price series of investment companies are random series. The sample primarily includes 50 active listed companies’ daily price and daily price index and Investment Company’s daily price on the TSE over the period 1999 to 2009. The results of both non-parametric (Kolmogrov—Smirnov: normality test and run test) and parametric test (Autoregressive model, ARIMA MODEL) provide evidence that the security returns do not follow the RANDOM WALK model and the significant correlation coefficient at different lags reject the null hypothesis of weak-form EFFICIENCY. In other words, investors can’t achieve extra return using historical return and price information.

Cites

STUDYING LONG MEMORY OF TEHRAN STOCK EXCHANGE

References

No record.

Cite

APA: Copy

NOORBAKHSH, ASGAR, ASGARI, GHOLAMREZA, & NASIRI, ROOHOLLAH. (2011). A SURVEY OF MARKET EFFICIENCY IN TEHRAN STOCK EXCHANGE (TSE). THE IRANIAN ACCOUNTING AND AUDITING REVIEW, 17(62), 103-116. SID. https://sid.ir/paper/8320/en

Vancouver: Copy

NOORBAKHSH ASGAR, ASGARI GHOLAMREZA, NASIRI ROOHOLLAH. A SURVEY OF MARKET EFFICIENCY IN TEHRAN STOCK EXCHANGE (TSE). THE IRANIAN ACCOUNTING AND AUDITING REVIEW[Internet]. 2011;17(62):103-116. Available from: https://sid.ir/paper/8320/en

IEEE: Copy

ASGAR NOORBAKHSH, GHOLAMREZA ASGARI, and ROOHOLLAH NASIRI, “A SURVEY OF MARKET EFFICIENCY IN TEHRAN STOCK EXCHANGE (TSE),” THE IRANIAN ACCOUNTING AND AUDITING REVIEW, vol. 17, no. 62, pp. 103–116, 2011, [Online]. Available: https://sid.ir/paper/8320/en

Related Journal Papers