Univrsity Of Tehran Press Accounting and Auditing Review 2645-8020 19 4 2013 01 20 The Analysis of Shares' Price predictability by Variance Ratio Tests and Random Walk Hypothesis in Tehran Stock Exchange The Analysis of Shares' Price predictability by Variance Ratio Tests and Random Walk Hypothesis in Tehran Stock Exchange 101 118 73224 10.22059/acctgrev.2020.73224 FA Ezatollah Abbasian Associate Prof., Dep. of Economics, Bu-Ali Sina University, Hamedan, Iran Mohsen Nazari Associate Prof., Faculty of Management, Tehran University, Tehran, Iran M. Zolfaghari M.A. in Economics, Bu-Ali Sina University, Hamedan, Iran Journal Article 2019 10 21 <strong>Abstract:</strong> One of the possible scales of stock market development is evaluating its efficiency. If stock markets are efficient, the current market price accurately reflects the fundamental or intrinsic valueof the asset. The examination of the behavior of asset returns and the predictability of their prices, in the context of a weak form efficient market, is of interest to both academics and practitioners. In this study, the efficient market hypothesis and especially the random walk hypothesis in Tehran stock market has been investigated using recently developed variance ratio tests, in addition to Lo-MacKinlay variance ratio test. For this purpose the random walk behavior has been studied in three indexes of TEPIX, TEDPIX, and 50 most traded at period 80-89. According to the results of this study, following the data from random walk process in this time interval in Tehran stock market is not approved.       <strong>Abstract:</strong> One of the possible scales of stock market development is evaluating its efficiency. If stock markets are efficient, the current market price accurately reflects the fundamental or intrinsic valueof the asset. The examination of the behavior of asset returns and the predictability of their prices, in the context of a weak form efficient market, is of interest to both academics and practitioners. In this study, the efficient market hypothesis and especially the random walk hypothesis in Tehran stock market has been investigated using recently developed variance ratio tests, in addition to Lo-MacKinlay variance ratio test. For this purpose the random walk behavior has been studied in three indexes of TEPIX, TEDPIX, and 50 most traded at period 80-89. According to the results of this study, following the data from random walk process in this time interval in Tehran stock market is not approved.       https://acctgrev.ut.ac.ir/article_73224_fd114054619302fb21c74ff18ba1f08e.pdf