Investigation Of Informative Efficiency Of Stock Market Using Variance Ratio Test Method

اقتصاد پولی مالی

Article 2, Volume 17, Issue 31, January 2011   

Document Type: پژوهشی

DOI: 10.22067/pm.v17i31.27247

Authors

Mostafa Salimifar^* ; Zahra Shirzour

Abstract

One of the issues that in recent decades in the field of information economy is rapidly expanding economy under information and discussion in this major economic problem of asymmetric information is related. As we know in today's world information and trading stock market performance is the core. Lateral velocity and symmetry of the main role of information and market efficiency is critical. One of the roles Stock firms is that the necessary ground for investors to provide information about the spaces. If this field does not provide due to the asymmetry of information, group information advantage compared to other income earned unusual achieve. Whatever is in front of more efficient market and security market is more symmetry and more investment to produce guidance can be found in access to higher economic growth.
The aim of this paper is that in line with this organization how much stock exchange has been successful in its role to the performance of the stock market pay data. In this study low-level performance with random walk hypothesis test evaluated the difference situated to perform this test, variance ratio test, which is among the strongest tests were used. Using this test due to updated its flexibility and power than other tests are. The results show that the Tehran stock market performance in a situation where there dissonance in terms of the variance in this series, we are.

Keywords

Information Efficiency; the stock market; the variance ratio test; random walk