Author:
Saeedi Ali,Miraskari Seyed Reza,Ara Mehrdad Sadr
Abstract
Abstract
This study examines the weak-form efficiency of the Iranian capital market after changes in market regulations. Some events after 2005 have fundamentally changed the environment of the Iranian capital market, and we expect those reforms to increase its market efficiency. Therefore, this study examined the behavior of daily returns in Tehran Stock Exchange (TSE) utilizing autocorrelation and augmented Dickey-Fuller for the period of 2005-2013. The results of all the tests do not support that TSE daily returns follow a random walk. Therefore, we conclude that it is possible to use technical skills to attain abnormal gains.
Publisher
Springer Science and Business Media LLC
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