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Dynamic Analysis of Weak Efficiency in the Tehran Stock Exchange, Using the Kalman Filter
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Ezatollah Abbasian *   , Maryam Zolfaghari |
| , abbasian@basu.ac.ir |
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Abstract: (7996 Views) |
| Proper functioning of capital markets has a particular importance in economic development of each country. Since the efficiency of capital markets represent its function, the aim of this study is to discuss weak level of market efficiency in the Tehran Stock Exchange, using a technically advanced method and a new approach. The stock markets may be in the different stages of development so models with stable and sustainable parameters could not describe different degrees of market efficiency overtime. Hence, examination of weak form efficiency alone would not enough. This study using time varying parameter GARCH model and the weekly data of TEPIX during March, 21 of 2001 up to June 21, 2010, dynamically analyzes the efficiency of Tehran Stock Exchange over time. According to the findings of this research, after 2003 some signs of slow and gradually movement towards efficiency improvement is felt. |
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| Keywords: Weak Level of Market Efficiency, GARCH Model, Kalman Filter, State-Space Model, Tehran Stock Exchange. |
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Full-Text [PDF 1144 kb]
(4084 Downloads)
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Type of Study: Applicable |
Subject:
General
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