Testing the informational Efficiency and Rational Bubble in TSE and its Subsections Using Variance Ratio Test and Stationary Test of Price- Dividend Ratio

In an efficient market, both the allocation of capital is done optimally and the stock price of firms is determined fairly. The bubbles in price of stocks may occur in inefficient markets, because the lack of information transparency is the major reason of bubble arising and the gap between intrinsic and market value. The purpose of this paper is investigating the informational efficiency and rational bubble in stock prices of Tehran Stock Exchange (TSE) and its subsections (TEFIX30, TX-50 and the principle 44 companies offered in TSE) in 1389 by using variance ratio test and stationary test of price-dividend ratios. The results indicate that:1- Total index of TSE an its subsections (TEFIX30, TX-50 and the principle 44 companies offered in TSE) is not weak form efficient in 1389.2- The null no bubble hypothesis of TSE and its subsections is rejected in 1389.3- There is direct relationship between inefficiency and bubble in 1389.