The Analysis of Shares' Price predictability by Variance Ratio Tests and Random Walk Hypothesis in Tehran Stock Exchange

Document Type : Research Paper

Authors

1 Associate Prof., Dep. of Economics, Bu-Ali Sina University, Hamedan, Iran

2 Associate Prof., Faculty of Management, Tehran University, Tehran, Iran

3 M.A. in Economics, Bu-Ali Sina University, Hamedan, Iran

Abstract

Abstract: 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.
 
 
 

Keywords

References

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Accounting and Auditing Review
Volume 19, Issue 4 - Serial Number 4
January 2012
Pages 101-118

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