market efficiency

This study was an attempt to evaluate the progress of capital market efficiency in Iran. Optimal resource allocation and micro and macro investments play a key role in the capital market. The capital market's main task is to circulate capital and allocate resources efficiently and optimally. The main task of this market is to flow capital and allocate resources efficiently and optimally. Is there a regular pattern for determining the stock price? Market efficiency gains significance as it is important to know what factor or factors are effective in determining the price of the stock in the stock market or whether there is a regular pattern for determining the price of a stock. Thus, this study examined the efficiency of the capital market in Iran. In this regard, the researchers used the daily data of the total index of the Tehran Stock Exchange for 2008-2017. Artificial neural network and time series training tests were used to perform the test. The test results showed weak efficiency in the Tehran Stock Exchange and this inefficiency did not change significantly compared to the first period. In other words, in the Tehran Stock Market, one can predict returns using artificial intelligence.

This study examines the relationship between stock liquidity and return predicta-bility of 116 publicly-traded firms in Tehran Stock Exchange (TSE). To this end, we constructed a dated-regular frequency of time series with total 40128 stock-firm observations. After calculating daily bid-ask spreads and stock returns, the observations were classified based on liquidity into three classes and the return predictability was investigated across different classes using a set of parametric tests. The results exhibit signs of return autocorrelation and non-independence over three liquidity groups. Our findings didn’t show a connection between stock liquidity and market efficiency. The Hurst exponent also revealed mean reversion of returns series across different liquidity classes. We conclude that stock liquidity doesn’t play a significant role in market efficiency and return predictability of stocks in TSE. In case of TSE as other emerging markets, due to the small num-ber of traders (the need for more trading activity) and low market making activi-ties, both the cost of trading increases and the reaction to stock price information is delayed, resulting in predictability of price /return.