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Measure the Level of Adherence to the Random Walk Theory in Various Industry Indices Using Markov Switching Model | ||
| راهبرد مدیریت مالی | ||
| Article 4, Volume 9, Issue 1 - Serial Number 32, April 2021, Pages 79-92 PDF (3.45 M) | ||
| Document Type: Research Paper | ||
| DOI: 10.22051/jfm.2019.19604.1626 | ||
| Authors | ||
| Reza Tehrani1; Saeid Tajdini* 2; Ezatollah Abbasian3; Mojtaba Mirlohi4 | ||
| 1Professor, Faculty of financial management, University of Tehran, Tehran, Iran | ||
| 2Ph.D , financial management, University of Tehran, Tehran, Iran. | ||
| 3Associate Professor in Economics, Department of economics, Bu Ali Sina University, Hamedan, Iran | ||
| 4Assistant Professor, Faculty of Management | ||
| Abstract | ||
| This study is to investigate the existence or absence of independence in return series in S&P index of the New York and 11 different indexes in Tehran Stock Exchange and their adherence to the random walk model in two Low volatility and high volatility regimes using the Markov switching model. Research sample included daily price information of 9 different industry indices of the bank, cement, oil products, machinery, chemicals, automobiles, sugar, food but sugar, metal minerals, index of 50 Top Companies and price index (TEPIX) in Tehran Stock Exchange Market for the period from 03/25/2011 to 03/19/2019. The results of the Markov Switching and Arima model showed that only in the high volatility regimes of the S&P index of the New York Stock Exchanges, with a durability of 32 percent, and the index of oil products in Tehran Stock Exchange with a 6 percent survival, the Arima model was not significant and in the rest, the cases in the considered model were significant. | ||
| Keywords | ||
| Arima; Random Walk; Markov Switching; Weak-Form Efficiency | ||
| References | ||
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