ارزيابي كارايي بورس اوراق بهادار تهران با استفاده از ضريب تعديل قيمت

Evaluating Tehran Stock Exchange Efficiency by Using Price Adjustment Coefficients

Success of stock exchange market in gathering savings and allocating resources to the best opportunity depends on its efficiency. Also, the importance of information such as financial information and marketbased financial/accounting research can be affected by efficient market. The efficiency in each level is related to the correction and speed of stock prices adjustment to the new data. In this quasi-empirical research, efficiency of Tehran Stock Exchange (TSE) is investigated by determining the speed of stock prices adjustment to the new information. The investigation is done by using price adjustment coefficients. The research includes two primary and two secondary hypotheses about time (speed) and the extent of efficiency in different times of disclosure of new publicly available information. Research results suggest that new publicly available information is fully reflected in prices after sixteen days. Therefore, TSE will be very less efficient because the information is fully reflected after six days in New York Stock Exchange. The Speed of price adjustment to new information is not improved in 2003-2005 toI999-2002, so one can suggest that causes of inefficiency are not resolved in the study period. Thus, TSE in 2003-2005 is not more efficient than 1999-2002 and its inefficiency is not reduced through this period