Mean reversion in stock prices is one of the stock market anomalies that contradicts efficiency of markets. This means that price movement in stock market has a tendency to be cancelled/naturalized in the long monthly and yearly periods. Therefore, this study aims at investigating mean reversion in Tehran Security Exchange. For the purpose of this study, unit root test and autocorrelation test were used to examine mean reversion in three indexes of TEPIX, TEDPIX, and 50 most-traded companies in Tehran Security Exchange (TSE). The result show that through unit root test, mean reversion was confirmed in three indexes of TSE. However, based on autocorrelation test, the results should be cautiously accepted.
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