AN INVESTIGATION OF THE HYPOTHESIS OF WEAK FORM OF EFFICIENCY IN TWO REGIMES OF HIGH & POOR VOLATILITY IN TEHRAN STOCK EXCHANGE

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NADEMI YOUNES; SALEM ALI ASGHAR

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Journal: Journal of Economic Research and Policies Year:2016 | Volume:24 | Issue:77 Page(s): 139-162

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Title

AN INVESTIGATION OF THE HYPOTHESIS OF WEAK FORM OF EFFICIENCY IN TWO REGIMES OF HIGH & POOR VOLATILITY IN TEHRAN STOCK EXCHANGE

Author(s)

NADEMI YOUNES | SALEM ALI ASGHAR | Issue Writer Certificate

Keywords

EFFICIENT MARKET HYPOTHESISQ2

WEAK FORM OF EFFICIENCYQ1

TEHRAN STOCK EXCHANGEQ2

MARKOV SWITCHING GARCH METHODQ1

Abstract

The market efficiency has been one of the most important subjects of financial markets in last decades. The EFFICIENT MARKET HYPOTHESIS states that all available information is fully and immediately reflected in asset prices, so there is no the possibility of achieving systematic profits resulting from price forecast. The main goal of this paper is to consider WEAK FORM OF EFFICIENCY hypothesis in two regimes of high volatility and low volatility in TEHRAN STOCK EXCHANGE. In order to test WEAK FORM OF EFFICIENCY hypothesis in TEHRAN STOCK EXCHANGE, a MARKOV SWITCHING GARCH METHOD has been used during October 1997 until September 2011. The estimation results of Markov Switching GARCH model indicate that TEHRAN STOCK EXCHANGE has not weak form efficiency in two regimes of high and low volatility. Therefore, regarding the importance of stock market in financing corporations, it is necessary that policy makers applying suitable policy in line with market efficiency to provide investment security in the market as well.

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APA: Copy

NADEMI, YOUNES, & SALEM, ALI ASGHAR. (2016). AN INVESTIGATION OF THE HYPOTHESIS OF WEAK FORM OF EFFICIENCY IN TWO REGIMES OF HIGH & POOR VOLATILITY IN TEHRAN STOCK EXCHANGE. JOURNAL OF ECONOMIC RESEARCH AND POLICIES, 24(77), 139-162. SID. https://sid.ir/paper/89492/en

Vancouver: Copy

NADEMI YOUNES, SALEM ALI ASGHAR. AN INVESTIGATION OF THE HYPOTHESIS OF WEAK FORM OF EFFICIENCY IN TWO REGIMES OF HIGH & POOR VOLATILITY IN TEHRAN STOCK EXCHANGE. JOURNAL OF ECONOMIC RESEARCH AND POLICIES[Internet]. 2016;24(77):139-162. Available from: https://sid.ir/paper/89492/en

IEEE: Copy

YOUNES NADEMI, and ALI ASGHAR SALEM, “AN INVESTIGATION OF THE HYPOTHESIS OF WEAK FORM OF EFFICIENCY IN TWO REGIMES OF HIGH & POOR VOLATILITY IN TEHRAN STOCK EXCHANGE,” JOURNAL OF ECONOMIC RESEARCH AND POLICIES, vol. 24, no. 77, pp. 139–162, 2016, [Online]. Available: https://sid.ir/paper/89492/en

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