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Application of Wavelets and Fractional Brownian Motion in Weak Efficiency Hypothesis of Testing in Tehran Stock Exchange
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Ahmad Jafari Samimi   , Roozbeh Balounejad Nouri |
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Abstract: (5228 Views) |
| The main objective of this study was to investigate weak efficient market hypothesis of Tehran stock exchange. For this purpose, total price index, financial index, industry index and the index's top 50 companies data for the period 2013:7-2009:5 daily basis as well as data on prices and yields for the period 2013:2 - 2000:3 are applied on a monthly basis. In this study, the hypothesis of the poor performance of the Tehran stock exchange, using wavelets and fractional Brownian motion is investigated. The results show the aforementioned hypotheses are rejected. |
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| Keywords: Weak Efficiency Hypothesis, Stock Market, Wavelets, Fractional Brownian motion |
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Type of Study: Applicable |
Subject:
پولی و مالی
Received: 2013/09/15 | Accepted: 2014/04/21 | Published: 2014/12/6
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