Volume 7, Issue 38 (1-2010)                   cs 2010, 7(38): 59-70 | Back to browse issues page

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A Study on the Weak Form of Efficiency in Emerging Capital Markets: Evidences from Tehran Stock Exchange (TSE). cs. 2010; 7 (38) :59-70
URL: http://cs.shahed.ac.ir/article-1-704-en.html
Abstract:   (10839 Views)

 So far, most of the studies on the Efficient Market Hypothesis have been devoted to the U.S as well as European capital markets, whereas just a few number of such researches have been conducted in undeveloped (less developed) countries in general, and Tehran Stock Exchange (TSE) in particular. The research examines some evidences indicating the lowest status of the Weak Form of Efficient Capital Market Hypothesis in TSE. The sample includes 30 companies registered with the TSE selected using the simple random sampling method. Timing of the study is restricted to the financial years within 1378 to 1384 (in solar calendar). The research is to answer the question if the TSE operates at the Weak Form of Efficient Capital Market Hypothesis. Findings of the study supported by the results of the Parametric and Non-parametric tests indicate that the time-series of stock returns are not consistent with the Random Walk Theory and that the Auto-correlation coefficient rejects the Null Hypothesis at different statistical intervals and levels of assuming a Weak Form of Efficient Capital Market Hypothesis.

 To keep such studies (on the Weak Form of Efficient Capital Market Hypothesis in less developed countries) being regularly conducted has the potential to considerably support the laws and regulations directing the capital market, and to enrich the supervising standards and to optimize the decisions made by the investors.

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Type of Study: Research | Subject: Special

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