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    This document presents the results of a study analyzing the weak-form efficiency of the Tehran Stock Exchange. Chapter 1 introduces the objectives, hypotheses, and organization of the study. Chapter 2 provides a literature review on efficient market hypothesis and previous empirical studies testing for weak-form efficiency. Chapter 3 describes the history, structure, and roles of the Tehran Stock Exchange. Chapter 4 outlines the research design, including the tests that will be used to analyze stock returns and test for efficiency. Chapter 5 presents the results of the mean, normality, autocorrelation, runs, and variance ratio tests. Chapter 6 provides conclusions and recommendations from the study's findings.

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    This document presents the results of a study analyzing the weak-form efficiency of the Tehran Stock Exchange. Chapter 1 introduces the objectives, hypotheses, and organization of the study. Chapter 2 provides a literature review on efficient market hypothesis and previous empirical studies testing for weak-form efficiency. Chapter 3 describes the history, structure, and roles of the Tehran Stock Exchange. Chapter 4 outlines the research design, including the tests that will be used to analyze stock returns and test for efficiency. Chapter 5 presents the results of the mean, normality, autocorrelation, runs, and variance ratio tests. Chapter 6 provides conclusions and recommendations from the study's findings.

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    6 views3 pages

    Page No List of Table List of Figures Chapter I: Introduction

    Uploaded by

    Alissa Barnes
    This document presents the results of a study analyzing the weak-form efficiency of the Tehran Stock Exchange. Chapter 1 introduces the objectives, hypotheses, and organization of the study. Chapter 2 provides a literature review on efficient market hypothesis and previous empirical studies testing for weak-form efficiency. Chapter 3 describes the history, structure, and roles of the Tehran Stock Exchange. Chapter 4 outlines the research design, including the tests that will be used to analyze stock returns and test for efficiency. Chapter 5 presents the results of the mean, normality, autocorrelation, runs, and variance ratio tests. Chapter 6 provides conclusions and recommendations from the study's findings.

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    © All Rights Reserved
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    of 3

    CONTENTS

    Page No
    LIST OF TABLE

    XII

    LIST OF FIGURES

    XV

    CHAPTER I: INTRODUCTION
    1.

    Introduction

    2.

    Objectives of the Study

    3.

    Hypotheses of the Study

    4.

    Organization of the Study

    5.

    Scope and Limitation

    CHAPTER II: LITRATURE REVIEW


    1.

    Introduction

    2.

    Efficient Market Hypothesis (EMH)

    2-1. Weak-Form Efficiency

    2-2.Semi Strong Form Efficiency

    10

    2-3.Strong- Form Efficiency

    11

    3.

    Reasons for Market Inefficiency

    12

    4.

    Random Walk Hypothesis

    13

    5.

    Review of Literature on Empirical Studies of Weak Form


    Efficiency

    14

    CHAPTER III: TEHRAN STOCK EXCHANGE


    1.

    History

    44

    2.

    Membership in International Organizations

    47

    3.

    Legal Structure

    47
    IX

    4.

    The Regulatory Framework of Capital Market

    48

    5.

    Capital and Shareholder

    48

    6.

    Organizational Structure

    49

    7.

    Foreign Investment in the TSE

    51

    8.

    Roles of the TSE

    54

    9.

    The TSE Market Summary

    84

    10. Goal of the TSE

    84

    CHAPTER IV: RESEARCH DESIGN


    1.

    Introduction

    89

    2.

    Return from Stock Price Fluctuations

    89

    3.

    Standardization of Stock Market Data

    92

    4.

    Data

    93

    5.

    Econometric Analysis and testing of Market Efficiency

    93

    6.

    Mean Value of stock Market Returns

    94

    7.

    Normality of Distributions of Market Return

    95

    7-1) Kurtosis

    95

    7-2) Skewness

    97

    7-3) Jarque-Bera test

    98

    8.

    Auto-Correlation

    98

    9.

    Runs-Test

    100

    10. Variance Ratio Test

    102

    11. Conclusion

    105

    CHAPTER V: ANALYSIS OF RESULTS


    1.

    Introduction

    107

    2.

    Mean Value

    108

    3.

    Normality of Distribution

    109

    3-1. Kurtosis

    110

    3-2. Skewness

    112

    3-3. Jarque-Bera Test

    114

    4.

    Autocorrelation

    115

    5.

    Q-Statistics and testing of joint hypotheses for autocorrelation


    coefficients

    120

    6.

    Runs Test

    121

    7.

    Variance Ratio Test

    124

    8.

    Conclusion

    131

    CHAPTER VI: SUMMARY AND CONCLUSIONS


    1.

    Conclusions

    132

    2.

    Recommendations

    134

    APPENDIX A: Profile of Listed Companies

    136

    APPENDIX B: Mean Value Test and Normality of Distribution Test

    139

    APPENDIX C: Autocorrelation Test

    152

    APPENDIX D: Runs Test

    159

    APPENDIX E: variance Ratio Test

    166

    APPENDIX F: Tehran Stock Exchange (TSE) Market


    Summary March 2009

    185

    BIBLIOGRAPHY

    203

    XI

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