Evaluation of The Informational Efficiency of Tehran Securities Market

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Vakili, Mohammad | 2010

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 40661 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Zamani, Shiva
Abstract:
In the present research, the weak level efficiency of securitise market is reviewed and examined .Therefore the “Random Walk Hypothesis” has been examined on the time series of daily efficiency index of TEHRAN SECURITISE MARKET. The main difference between this research and the previous researches which have been performed previously in Iran, is the method of Hypothesis Test. The” Variance Ratio Test” has been used as a method of Hypothesis’ Test. In the second chapter, the theoretical and experimental literatures of this research has been described in detail. In parallel with the ” Variance Ratio Test”, the impact of the Day of week and the “HETROSCEDASITY TEST” also has been examined. In reviewing the efficiency of securitise market the ” HETROSCEDASITY” has been considered which is the main distinctive character of this research in comparison with the previous researches. At the end, the result of this research reveals the low efficiency of Tehran Securitise market.
Keywords:
Random Walk ; Tehran Stock Exchange ; Weak Level Efficiency of Market ; Variance Ratio Test

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