DYNAMIC ANALYSIS OF WEAK EFFICIENCY IN THE TEHRAN STOCK EXCHANGE, USING THE KALMAN FILTER

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ABBASIAN EZATOLLAH; ZOLFAGHARI MARYAM

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

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Journal: Journal of Economic Research and Policies Year:2013 | Volume:21 | Issue:65 Page(s): 231-254

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Title

DYNAMIC ANALYSIS OF WEAK EFFICIENCY IN THE TEHRAN STOCK EXCHANGE, USING THE KALMAN FILTER

Author(s)

ABBASIAN EZATOLLAH | ZOLFAGHARI MARYAM | Issue Writer Certificate

Keywords

WEAK LEVEL OF MARKET EFFICIENCYQ2

GARCH MODELQ2

KALMAN FILTERQ2

STATEQ2

SPACE MODELQ2

TEHRAN STOCK EXCHANGEQ2

Abstract

Proper functioning of capital markets has a particular importance in economic development of each country. Since the efficiency of capital markets represent its function, the aim of this study is to discuss WEAK LEVEL OF MARKET EFFICIENCY in the TEHRAN STOCK EXCHANGE, using a technically advanced method and a new approach. The stock markets may be in the different stages of development; so models with stable and sustainable parameters could not describe different degrees of market efficiency overtime. Hence, examination of weak form efficiency alone would not enough. This study using time varying parameter GARCH MODEL and the weekly data of TEPIX during March, 21of 2001 up to June 21, 2010, dynamically analyzes the efficiency of TEHRAN STOCK EXCHANGE over time. According to the findings of this research, after 2003 some signs of slow and gradually movement towards efficiency improvement is felt.

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APA: Copy

ABBASIAN, EZATOLLAH, & ZOLFAGHARI, MARYAM. (2013). DYNAMIC ANALYSIS OF WEAK EFFICIENCY IN THE TEHRAN STOCK EXCHANGE, USING THE KALMAN FILTER. JOURNAL OF ECONOMIC RESEARCH AND POLICIES, 21(65), 231-254. SID. https://sid.ir/paper/89517/en

Vancouver: Copy

ABBASIAN EZATOLLAH, ZOLFAGHARI MARYAM. DYNAMIC ANALYSIS OF WEAK EFFICIENCY IN THE TEHRAN STOCK EXCHANGE, USING THE KALMAN FILTER. JOURNAL OF ECONOMIC RESEARCH AND POLICIES[Internet]. 2013;21(65):231-254. Available from: https://sid.ir/paper/89517/en

IEEE: Copy

EZATOLLAH ABBASIAN, and MARYAM ZOLFAGHARI, “DYNAMIC ANALYSIS OF WEAK EFFICIENCY IN THE TEHRAN STOCK EXCHANGE, USING THE KALMAN FILTER,” JOURNAL OF ECONOMIC RESEARCH AND POLICIES, vol. 21, no. 65, pp. 231–254, 2013, [Online]. Available: https://sid.ir/paper/89517/en

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