Testing for Evolving Informational Efficiency in Tehran Stock Exchange Market, M.Sc. Thesis Sharif University of Technology ; Keshavarz Haddad, Gholamreza (Supervisor)
Abstract
Evolving Informational Efficiency in financial markets is of a significant role in the financial economic development. The present research is an endeavour to test the efficiency improvement in Tehran stock exchange by a GARCH-M model which is estimated by Kalman Filter technique. To conduct the estimation and tests, we have used daily data (over 1384-1388) on the return of Bank and Financial intermediaries, Metal groups and the main index of TSE. The findings show that the information inefficiency hypothesis can not be rejected, although any noticeable improvements are not observed in the inefficiency trend of the financial time series, the level of inefficiency trends are rather different...
Cataloging briefTesting for Evolving Informational Efficiency in Tehran Stock Exchange Market, M.Sc. Thesis Sharif University of Technology ; Keshavarz Haddad, Gholamreza (Supervisor)
Abstract
Evolving Informational Efficiency in financial markets is of a significant role in the financial economic development. The present research is an endeavour to test the efficiency improvement in Tehran stock exchange by a GARCH-M model which is estimated by Kalman Filter technique. To conduct the estimation and tests, we have used daily data (over 1384-1388) on the return of Bank and Financial intermediaries, Metal groups and the main index of TSE. The findings show that the information inefficiency hypothesis can not be rejected, although any noticeable improvements are not observed in the inefficiency trend of the financial time series, the level of inefficiency trends are rather different...
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