Open AccessThe Investigation of the Efficient Market Hypothesis: Evidence from an Emerging Market
Author(s) -
Ali Saeedi,
Seyed Reza Miraskari,
Mehrdad Sadr Ara
Publication year - 2014
Publication title -
taylor's business review : a contemporary business journal
Language(s) - English
Resource type - Journals
ISSN - 2232-0172
DOI - 10.7603/s40932-014-0001-0
Subject(s) - efficient market hypothesis , capital market line , capital market , stock exchange , stock market , market efficiency , economics , random walk hypothesis , autocorrelation , financial economics , monetary economics , econometrics , business , market depth , finance , statistics , geography , mathematics , context (archaeology) , archaeology
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.