تحليل تجربي نوسانات و كارايي اطلاعاتي بازار سهام (مطالعه موردي: بورس اوراق بهادار تهران)

An Empirical Analysis of Stock Marketʹs Fluctuations A Case Study for Tehran Stock Market

Stock markets are strong means of attracting savings and directing them to investors, but their rate of returns are subject to fluctuations much higher than other economic variables. This paper is to examine of the volatility in the Tehran stock marketusing the conditional heteroscedasticity technique for the period 1370:0-1386:06. Based on the results obtained, (1) distribution of the return has positive skewness indicating that market players consider occurrence of negative returns more likely. (2) Return series is not normaly distributed and has more height than norma. curve. (3) Calendar has no significant effect on return with the exception of second, fifth and ninth months of the year. (4) Weak Information efficiency is rejected. Thus, not all market factors transact professionally and, the information and the news affect stock price with a time delay. (5) Inflation has positive effect on returns fluctuations, but is not significant. (6) Exchange rate (Rials/$) has positive and significant but samll effect on return fluctuations. The small effect is probably due to the fact that there is only a little share of Dollar in shareholders portfolio. Finally, (7) Assumption of normal distribution for residuals is not suitable. In contrast, t and general error distributions if surplus kurtosis is considered are proper assumptions.