{"title":"有效市场假说研究:来自一个新兴市场的证据","authors":"A. Saeedi, Seyed Reza Miraskari, Mehrdad Sadr Ara","doi":"10.2139/ssrn.2042831","DOIUrl":null,"url":null,"abstract":"This study examines the weak-form efficiency of Iranian capital market, after the changes in the market regulations. Some events after 2005 have fundamentally changed the environment of the Iranian capital market, and we expect those reforms to increase the market efficiency. Therefore, this research examines the daily returns behavior in Tehran Stock Exchange (TSE) utilizing autocorrelation, augmented Dickey-Fuller, and runs tests over the period of 2005-2010. The results of all tests do not support that TSE daily returns follow a random walk. Therefore, we conclude that it is possible to use the technical skills to attain the abnormal gains.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"51 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2012-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":"{\"title\":\"The Investigation of Efficient Market Hypothesis: Evidence from an Emerging Market\",\"authors\":\"A. Saeedi, Seyed Reza Miraskari, Mehrdad Sadr Ara\",\"doi\":\"10.2139/ssrn.2042831\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This study examines the weak-form efficiency of Iranian capital market, after the changes in the market regulations. Some events after 2005 have fundamentally changed the environment of the Iranian capital market, and we expect those reforms to increase the market efficiency. Therefore, this research examines the daily returns behavior in Tehran Stock Exchange (TSE) utilizing autocorrelation, augmented Dickey-Fuller, and runs tests over the period of 2005-2010. The results of all tests do not support that TSE daily returns follow a random walk. Therefore, we conclude that it is possible to use the technical skills to attain the abnormal gains.\",\"PeriodicalId\":214104,\"journal\":{\"name\":\"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal\",\"volume\":\"51 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2012-04-19\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"5\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2042831\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2042831","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The Investigation of Efficient Market Hypothesis: Evidence from an Emerging Market
This study examines the weak-form efficiency of Iranian capital market, after the changes in the market regulations. Some events after 2005 have fundamentally changed the environment of the Iranian capital market, and we expect those reforms to increase the market efficiency. Therefore, this research examines the daily returns behavior in Tehran Stock Exchange (TSE) utilizing autocorrelation, augmented Dickey-Fuller, and runs tests over the period of 2005-2010. The results of all tests do not support that TSE daily returns follow a random walk. Therefore, we conclude that it is possible to use the technical skills to attain the abnormal gains.
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