Subscribe

Subscribe to our Newsletter and get informed about new publication regulary and special discounts for subscribers!

ILSHS > Volume 9 > Return Predictability of Stock Price Index in...
< Back to Volume

Return Predictability of Stock Price Index in Tehran Stock Exchange

Full Text PDF

Abstract:

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.

Info:

Periodical:
International Letters of Social and Humanistic Sciences (Volume 9)
Pages:
59-64
Citation:
M. Mehrara "Return Predictability of Stock Price Index in Tehran Stock Exchange", International Letters of Social and Humanistic Sciences, Vol. 9, pp. 59-64, 2013
Online since:
Sep 2013
Authors:
Export:
Distribution:
References:

Amemiya, T. (1980). Selection of regressors. International Economic Review, 21, 331-345.

Bossaerts, P., Hillion, P. (1999). Implementing statistical criteria to select return forecasting models, Review of Financial Studies, 12(2), 405-428.

Chen, S. S., Chen, H. C. (2007). Oil prices and real exchange rates. Energy Economics, 29(3), 390-404.

Chiang, C. L. (2003). Statistical methods of Analysis. World Scientific Publishing: Singapore.

Chortareas, G., Jiang Y., Nankervis, J. C. (2010). The random-walk behavior of the EURO exchange rate. Finance Research Letters, 8(3), 158-162.

Derksen, S., H. J. Keselman (1992). Backward, Forward and Stepwise Automated Subset Selection Algorithms: Frequency of Obtaining Authentic and Noise Variables. British Journal of Mathematical and Statistical Psychology, 45, 265-282.

Ehrmann, M., Fratzscher, M. (2005). Exchange rates and fundamentals: new evidence from real-time data. Journal of International Money and Finance, 24(2), 317-341.

Fama, E. F. (1970). Efficient capital markets: a review of theory and empirical work. Journal of Finance, 25, 83-417.

Fama, E. F. (1991). Efficient capital markets II. Journal of Finance, 46, 1575-1617.

Lien, K. (2009). Day Trading & Swing Trading the Currency Market. 2nd ed. New Jersey: John Wiley & Sons.

Malkiel, B. (1992). Efficient market hypothesis. New Palgrave Dictionary of Money and Finance. London: Macmillan.

Pesaran, M. H., Timmermann, A. (1992). A simple nonparametric test of predictive performance. Journal of Business and Economic Statistics, 10(4), 461-465.

Pesaran, M. H., Timmermann, A. (1995). Predictability of Stock Returns: robustness and economic significance. Journal of Finance, 50(4), 1201-1228.

Pesaran, M. H., Timmermann, A. (2000). A Recursive Modeling Approach to Predicting UK stock Returns. The Economic Journal, 110(460), 159-191.

Pesaran, M. H., Timmermann, A. (1994). Forecasting stock returns An examination of stock market trading in the presence of transaction costs. Journal of Forecasting, 13, 330-365.

Roberts, H. (1967). Statistical versus clinical prediction of the stock market. Unpublished manuscript. Center for Research in Security Prices, University of Chicago.

Samuelson, P. (1965). Proof that Properly Anticipated Prices Fluctuate Randomly. Industrial Management Review, 6, 41-49.

Mohsen Mehrara, Maysam Musai (2013). Ranking of developing countries Based on the Economic Freedom Index. International Letters of Social and Humanistic Sciences, 2, 32-38.

Mohsen Mehrara, Maysam Musai (2013). The relationship between Economic Growth and Human Capital in Developing Countries. International Letters of Social and Humanistic Sciences 5, 55-62.

Mohsen Mehrara, Maysam Musai (2013). The Causality between Capital Formation and Economic Growth in MENA Region. International Letters of Social and Humanistic Sciences, 8, 1-7. ( Received 17 August 2013; accepted 21 August 2013 ).

Show More Hide