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:: Volume 5, Issue 17 (12-2014) ::
2014, 5(17): 29-56 Back to browse issues page
Application of Wavelets and Fractional Brownian Motion in Weak Efficiency Hypothesis of Testing in Tehran Stock Exchange
Ahmad Jafari Samimi , Roozbeh Balounejad Nouri
Abstract:   (5521 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.
Keywords: Weak Efficiency Hypothesis, Stock Market, Wavelets, Fractional Brownian motion
     
Type of Study: Applicable | Subject: پولی و مالی
Received: 2013/09/15 | Accepted: 2014/04/21 | Published: 2014/12/6
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Jafari Samimi A, Balounejad Nouri R. Application of Wavelets and Fractional Brownian Motion in Weak Efficiency Hypothesis of Testing in Tehran Stock Exchange. Journal title 2014; 5 (17) :29-56
URL: http://jfm.khu.ac.ir/article-1-821-en.html


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Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Volume 5, Issue 17 (12-2014) Back to browse issues page
فصلنامه تحقیقات مدلسازی اقتصادی Journal of Economic Modeling Research
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