The Study of Non-Stationary or Random Walk at Tehran Stock Exchange during the Years (2001- 2011)

Based on the macro-economic theories, economic growth rate is associated with investment and investment is associated with saving. Stock exchange is one of the sources of gathering savings and investments supplying, so the role of stock exchange has a special importance in the economic growth and development .Stock exchange is one of the indexes of economic development. When it has efficiency and required transparency, through it, the great volume of capitals lead to the cycle of production and industry .In third world countries, due to the lack or defect of information system and also weakness in economic structures, stock exchange is either inefficient or maybe in weak form of efficiency .The aim of this research is to investigate Tehran stock exchange from the view of non-stationary or efficiency in the weak form. So the statistical population (accepted companies)in Tehran stock exchange were investigated in two form of tepix and tedpix. The research method is descriptive – analytical method and considered data are exceeded than 5172 for 11 years (2001-2011) taking directly from the stock exchange website. In the statistical analysis, EVIEWS software for hypothesis testing and SPSS software for determining descriptive statistics indexes was used. To determine the circumstance of non-stationary or efficiency in the weak form, Dickey-fuller and Variance ratio test was used. The results of both tests show that Tehran stock exchange had not non-stationary movement and is inefficient even in the weak form. This denotes that Tehran stock exchange is lacking in the required information process and does not have characteristics of perfect competitive market.