Market Efficiency and Long-range Dependence: Evidence from the Tehran Stock Market | Asian Journal o

The price process in an efficient market must follow a random walk, and price changes must be random. The random walk is rejected by the presence of short and long-range dependency in the stock price mechanism, resulting in market inefficiency. The major goal of this article is to investigate the inefficiency of the Tehran exchange market as a result of the presence of long-range reliance in the market. To achieve so, we use financial econometrics models to investigate the time-varying long-range dependency in the log-return process of the Tehran Stock Exchange. We show statistically that the Tehran exchange market's mean log-return pricing process is a non-stationary process with short rang memory. Our findings suggest that shocks to the Tehran stock market's volatility dissipate more slowly than an exponential decay.

Please see the link :- https://globalpresshub.com/index.php/AJEFM/article/view/827