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- W1752181574 abstract "A 'flexible Fourier trend' unit root test, permitting smooth structural breaks of unknown form and dates, is used to test weak-form market efficiency in the Tehran stock market's TEPIX index. Monte Carlo experiments show that this test has low power when non-trading-day gaps in the daily data are filled with missing value codes. The test's properties for weekly returns and for data as published, with non-trading-day gaps suppressed, are better and similar to each other. Analysis of the full sample of TEPIX data as published supports a unit root null but indicates the presence of additional autocorrelation – questioning weak-form efficiency. Sub-sample analysis again finds evidence of a unit root, but also of complex autocorrelation. Support for the unit root increased in the years (2000-2004) following regulatory reform and has decreased since 2008. A Diebold and Mariano (1995) test is used to assess whether the revealed autocorrelation provides an effective basis for predicting price deviations from trend on the basis of their own history. Predictive effectiveness is found at a horizon of one trading day. We conclude that this market has not shown weak-form efficiency." @default.
- W1752181574 created "2016-06-24" @default.
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- W1752181574 date "2015-09-08" @default.
- W1752181574 modified "2023-09-27" @default.
- W1752181574 title "Stock market efficiency in Iran: unit root testing with smooth structural breaks and non-trading days" @default.
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