Analysing the Behaviour of Firms for Entering and Leaving the Market: A Case Study of Tehran Stock Market

Abstract

Existence of a strong stock market is one of the most important elements in a country's development, which leads a huge amount of liquidity from non-productive activities to productive ones. Stock market is one of those markets in which a proper activity can bring the shareholders a perfect and safe amount of profit. Volatility is one of the characteristics of stock markets which causes risks in them. To take advantage of volatility and to gain more profit, the very moment of entering or leaving the market is considered as a crucial factor. This study aims to determine a beneficial strategy for entering and leaving a stock market and to examine the industry index efficiency of the market. Also, the paper checks if these indexes follow a specific pattern. The statistical population consists of 29 industries in Tehran Stock Market studied during 2009-2013. The required financial data for examining the hypotheses are collected from the stock market website. Examination of the hypotheses was accomplished through mixed data. The results show that the stock market does not behave in the same way in similar time periods. Also, the only useful strategy for entering and exiting the stock market, namely the optimum strategy, is attainable, and, based on observations, the momentum strategy is effective.

Keywords

• tehran stock market
• shares efficiency
• technical analysis
• momentum
• industry index