Journal article | Zeitschriftenartikel
Return Predictability of Stock Price Index in Tehran Stock Exchange
The question of whether asset price changes are predictable has long been the subject of many studies. Many studies, using historical returns based on random walk tests, have shown that stock return is not predictable. We study return predictability of the Tehran Exchange Price Index (TEPIX) based on monthly data from 2000 to 2011. For forecasting the return, we used a recursive estimation method in which the parameter estimates were updated recursively in light of new weekly observations, and also its regressors were changed recursively according to the Schwarz Bayesian Criterion. The results show that the daily stock returns are not predictable using publicly available information.
- ISSN
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2300-2697
- Umfang
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Seite(n): 59-64
- Sprache
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Englisch
- Anmerkungen
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Status: Veröffentlichungsversion; begutachtet (peer reviewed)
- Erschienen in
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International Letters of Social and Humanistic Sciences(9)
- Thema
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Wirtschaft
Volkswirtschaftstheorie
- Ereignis
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Geistige Schöpfung
- (wer)
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Mehrara, Mohsen
- Ereignis
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Veröffentlichung
- (wer)
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SciPress
- (wo)
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Schweiz
- (wann)
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2013
- DOI
- Rechteinformation
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GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:27 MESZ
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Objekttyp
- Zeitschriftenartikel
Beteiligte
- Mehrara, Mohsen
- SciPress
Entstanden
- 2013
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