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Testing Weak-Form Efficient Capital Market Case Study: TSE and DJUS Indices

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشیار دانشکده اقتصاد و علوم اجتماعی، گروه مدیریت دانشگاه شهید چمران، اهواز، ایران

2 کارشناس ارشد مدیریت بازرگانی گرایش مالی دانشگاه شهید چمران، اهواز، ایران.

چکیده

The present study investigated weak-form 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 non-parametric 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 mean-reversion 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.

کلیدواژه‌ها

عنوان مقاله [English]

Testing Weak-Form Efficient Capital Market Case Study: TSE and DJUS Indices

نویسندگان [English]

  • Hassanali Sinaei 1
  • Pooya Mohamadi 2

1 دانشیار دانشکده اقتصاد و علوم اجتماعی، گروه مدیریت دانشگاه شهید چمران، اهواز، ایران

2 کارشناس ارشد مدیریت بازرگانی گرایش مالی دانشگاه شهید چمران، اهواز، ایران.

چکیده [English]

The present study investigated weak-form 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 non-parametric 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 mean-reversion 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.

کلیدواژه‌ها [English]

  • emerging markets
  • mean-reversion behavior
  • random walk model
  • trending behavior
  • variance ratio test
مراجع
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فصلنامه علمی پژوهشی اقتصاد مقداری
دوره 14، شماره 2 - شماره پیاپی 53
دوره چهاردهم، شماره دوم، تابستان 1396 (شماره مسلسل 53)
شهریور 1396
صفحه 167-192
فایل ها
سابقه مقاله
  • تاریخ دریافت: 12 مهر 1395
  • تاریخ بازنگری: 05 دی 1395
  • تاریخ پذیرش: 06 دی 1395
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