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testing weakform efficient capital market case study: tse and djus indices
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نویسنده
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sinaei hassanali ,mohamadi pooya
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منبع
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اقتصاد مقداري (بررسي هاي اقتصادي سابق) - 1396 - دوره : 14 - شماره : 2 - صفحه:167 -192
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چکیده
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The present study investigated weakform market information efficiency in tehran security exchange (tse) as an emerging market and in dow jones united states security exchange (djus) as a developed market based on random walk model. in each market, the random walk model was examined using daily and monthly returns of a set of indices. the results of the parametric and nonparametric tests indicated that the daily returns are not independent and identically distributed in tse. moreover, according to the results of the variance ratio test, a trending behavior in daily returns and meanreversion behavior in monthly returns were observed. in djus, however, the daily returns were found to be independent and identically distributed and the results of variance ratio test did not confirm that the returns follow a particular pattern in this market.
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کلیدواژه
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emerging markets ,mean-reversion behaviour ,random walk model ,trending behaviour ,variance ratio test
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آدرس
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shahid chamran university, faculty of economic and social sciences, ایران, shahid chamran university of ahwaz, faculty of economic and social sciences, ایران
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پست الکترونیکی
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p.mohamadi88@gmail.com
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Testing WeakForm Efficient Capital Market Case Study: TSE and DJUS Indices
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Authors
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Sinaei Hassanali ,Mohamadi Pooya
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Abstract
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The present study investigated weakform market information efficiency in Tehran security exchange (TSE) as an emerging market and in Dow Jones United States security exchange (DJUS) as a developed market based on random walk model. In each market, the random walk model was examined using daily and monthly returns of a set of indices. The results of the parametric and nonparametric tests indicated that the daily returns are not independent and identically distributed in TSE. Moreover, according to the results of the variance ratio test, a trending behavior in daily returns and meanreversion behavior in monthly returns were observed. In DJUS, however, the daily returns were found to be independent and identically distributed and the results of variance ratio test did not confirm that the returns follow a particular pattern in this market.
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Keywords
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emerging markets ,meanreversion behavior ,random walk model ,trending behavior ,variance ratio test
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