103Given to above issues the main case in this survey is to determine the amount and level of efficiency by means of Tehran Stock Exchange (TSE) index. In order to study the efficiency of TehranStock Exchange in this survey we have used serial correlation test and unit root using the augmentedDicky-Fuller test which have numerous applications in researches of efficiency ground. Thus we try inthe following to represent the total framework of research by reviewing of literature, background of previous researches and describing of research hypothesis and objectives. Afterwards data analysis isdone and conclusion and necessary recommendations will be offered.
2. Research Literature
Subject of stock exchange efficiency is one of the most important subjects of the world great marketsat present. An efficient market is a market in which the existent information affects securities pricesimmediately. Concept of an efficient market presumes that in dealing decisions investors consider allthe related information in stock prices. Therefore, the current stock prices include all previousinformation (like the profit related to the previous season or year) and current information. Necessaryconditions to establish an efficient stock exchange have been stated as the following:1)
Easiness of progress and rapid access to information in the market in a complete form foreveryone2)
Balance between risk and return3)
Determining of the securities price based on supply and demand forces4)
Lack of severe difference between securities price and their inherent value5)
Liquidity capability of the market6)
Individual inability to one-sided change of prices (Rao, 1989)Indeed these characteristics are the result of the whole competitive market that are appearedbecause of high similarity of securities transactions to the whole competitive market. So, high degreeof efficiency is the result of high degree of closeness of securities' market transactions and wholecompetitive market.Efficiency of the capital market has various dimensions that will be referred in the following.1-
Information efficiency: by information efficiency we mean that all individuals have accessto information and it will affect securities price immediately.2-
Allocative efficiency: the capital market enjoys allocative efficiency when it could investthe existent capitals in plans or companies that offer more return (proportional to risk).3-
Operational efficiency: markets that have higher operational efficiency enjoy more speedand easiness in transactions and transactional costs are at the lowest level. This kind of efficiency is leaded to increase the speed of assets' liquidity (Tehrani, 2009).If there are essential conditions for existence of an efficient market this question is proposedthat how much of efficiency is considered. Also it should be noted that the major criterion in evaluationof market's efficiency level is information which has grades and degrees by itself. According to thisthere are three levels of information efficiency that will be stated briefly.Weak form of an efficient market: information related to previous prices has no impact onevaluation of future changes of prices and the current prices don't reflect the past trend. As a result it isnot possible to achieve a better prediction of future trend of prices by analyzing of previous movementsof prices. In this state, securities prices don't have historical memory and technical analyses have littleapplication.Semi-strong form efficiency: the current information is a perfect reflection of publishedinformation related to each of the securities and the investor can't obtain more return by analyzing of this information. Applying of basic analyses won't be effective in this state too. In other words byshowing reaction towards audit reports, financial statements, accounting profit, announcing of eachshare's profit, announcing of each share's distributed profit, stock analysis and etc we can't obtain ahigher investment rate of return.