چکیده:
In an efficient capital market, information rapidly affects the stock price of firms. The informational efficiency is classified as weak form, semi-strong form and strong form. The weak form efficiency indicates the random walk theory. If the market follows random walk, we cannot gain abnormal return. The purpose of this study, using autocorrelation, run, unit root and variance ratio tests, is to concentrate on the market weak form efficiency of Tehran Stock Exchange subsections (TEFIX-30, TX-50 and the principle 44 companies offered in TSE). The results of this research are: 1. The 50 active companies index (TX-50) in TSE by using the four pre-told methods, is not weak form efficient. 2. 30 big companies index (TEFIX-30) by using the four pre-told methods, is not weak form efficient. 3. The principle 44 companies offered in TSE by using the four pre-told methods, is not weak form efficient.
خلاصه ماشینی:
In the present study, the market efficiency in the sub-sectors of the top 50 listed companies, 30 large companies, and Article 44 companies listed on the stock exchange, at the weak level, has been tested using four models (autocorrelation test, variance ratio test, augmented Dickey-Fuller unit root test, and Lo and MacKinlay variance ratio test).
Table (2): Runs test for the index of the top 50 companies of the Tehran Stock Exchange {Refer to the attached table file} 1-3- Findings of the Augmented Dickey-Fuller unit root test: According to the results of Table (3), the absolute value of the ADF test statistic with first, second, and third order autoregressive processes at the 1 percent, 5 percent, and 10 percent significance levels is greater than the absolute value of the MacKinnon critical values.
Table (5): Results of the Lo and MacKinley variance ratio test for the index of the top 50 companies of the stock exchange {Refer to the attached table file} 2- Testing the second hypothesis 2-1- Findings of the autocorrelation test: According to Table (6), the test statistic value for a 1-day time lag at a 95 percent confidence level is greater than the critical value 0.
The results of the present research, using the tests of returns, autocorrelation, unit root, and variance ratio, are as follows: 1- The efficiency of the Tehran Stock Exchange in the sub-sector of the top 50 companies (active) during the period 1385-1389 is rejected at a 95 percent confidence level.
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