In an efficient market, the price process must follow a
random walk, and price changes must be random. The presence of short and
long-range dependence in the stock price process rejects the random walk and
resulting in market inefficiency. The main objective of this paper is to
examine the Tehran exchange market inefficiency attributableto the presence of
long-range dependence in the market.To do so, we study the time-varying
long-range dependence in the Tehran Stock Exchange log-return process using
financial econometrics models. We provide clear statistical evidence that the
mean log-return price process of the Tehran exchange market is a non-stationary
process with short rang memory. Our finding indicates that shocks in the
volatility of the Tehran stock market decay more slowly than an exponential
decay. The results provide strong evidence in rejecting the random walk and the
market efficiency hypotheses in the Tehran stock exchange market.
Please read full article –https://globalpresshub.com/index.php/AJEFM/
Keywords: Long range dependence, market efficiency, Tehran
stock exchange, financial econometrics
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