Authors: Mansoor Kashi; Seyed Hasan Hosseini; Ammar Arabi Jeshvaghani; Mansour Kheirgoo
Addresses: Ministry of Economic Affairs and Finance, Tax Affairs Organization, Qom, Iran; The University of Sistan and Baluchestan, Zahedan, Iran ' Department of Management, Faculty of Management Sciences, University of Imam Ali, Tehran, Iran ' Department of Management, Faculty of Management Sciences, Islamic Azad University of Tehran, Iran ' Department of Management, Faculty of Management, University of Imam Ali, Tehran, Iran
Abstract: The process of short memory that meet structural break in a mean shows the slower hyperbolic rate of decay in autocorrelation function and fractional integrated processes. In this paper, we investigated the potential of structural break and long memory properties with semi-parametric and parametric estimators of long memory and diagnosed the break points by the OLS-based tests. Our results showed there are simultaneously long memory and break points in TEPIX series. Therefore, to correct deduction in market memory, statistical properties and long memory tests was examined after and before of break dates. The results exhibit the same statistical pattern and long memory in all subseries divided by structural breaks. Finally, it supposed the TEPIX memory is long and true and suggested Tehran stock market cannot be considered as efficient market in transformation of information speed. Hence, there is the possibility of obtaining unusual profits in such a market and consequently the assumption of a weak form of market efficiency will also be violated.
Keywords: autocorrelation; structural break; long memory.
International Journal of Procurement Management, 2019 Vol.12 No.4, pp.425 - 440
Received: 02 Mar 2018
Accepted: 06 Jul 2018
Published online: 29 Jul 2019 *