The Investigation of the Efficiency of Iran's Stock Exchange

The main purpose of this study is to evaluate the efficiency of the Iran's securities exchange in the weak form in order to provide answers to the following questions: 1- Are the successive changes in the stock price independent of each other? 2- Does the distribution of the percentage of the change in stock price conform to the normal distrihution function. 3- Is it possible to obtain more profit using commercial Filter Rule in comparison with the Buy-Hold procedure? To this end, the statistical procedure of serial correlation, comparison between the normal distribution curve and histograms indicative of the percentage of changes in the stock price, have been made. Fruthermore, the commercial Filter Rule and Buy-Hold procedures have also been employed. The data utilized in this research are based upon the weekly stock price of forty companies listed in Iran's stock exchange, the weekly indexes of all the stocks for the years 1990 through 1995, and the daily stock price of thirty companies for years 1992 through 1995. The results of this study demonestrate that there exists a dependece among the successive changes in stock prices. In addition, the percentage of such changes does not conform to the normal distribution function. Furthermore, it is possible to gain more profits by usning the "Filter Rule" compared to the "Buy and Hold" procedure.