مطالعات تجربی حسابداری مالی (Mar 2006)
A Survey of TEPIX Efficiency
Abstract
This paper is aimed to respond to a general question about the capacity and potency of Tehran Stock Exchange Price Index (TEPIX) - an all-share Index- indicating future movement of the market and economy as a leading indicator. In one sense, whether the index (TEPIX) is efficient to serve as a benchmark for decision-making. For this reason, we apply Fischer Tests (Time Reversal Test & Factor Reversal Test) and statistical significance by t-state. For this research, two hypotheses in four different scenarios are designed. For first hypothesis, we used both time & factor reversal tests in tri scenarios and also statistical significance by t-state. For second hypothesis (forth scenario) we made a comparative comparison between indices such as Laspeyres, Paasche, Edgeworth-Marshal, Drobisch, Geary-Khamis , Fisher investor's decision making; of course, with assuming that investors use index as a benchmark for making decision. With respect to the results, we can derive that TEPIX is not a favorable measure. Thus it is not an efficient index.
