عنوان مقاله [English]
نویسندگان [English]چکیده [English]
Based on efficient market hypothesis the stock prices follow random walk process. In such market the stock return can not be predicted using past price variation. However, efficient market hypothesis is under question because the researchers have provided evidenses that reveal some anomalies in stock markets. Mean reversion is one of these anomalies. Therfore 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 priods. The obtained results confirmed mean reversion in TEPIX, TEDPIX during the most time priod. This is while, the 50 most traded indexes have followed random walk from 1384 to 1387 and during most time intervals.