Phenomenon of random walk on Tehran Stock Exchange

Abstract

Stock exchange as the heart of the capital market is essential to economic progression for which certain conditions are necessary; efficiency is a requirement. Proper stock pricing and allocation of capital follow efficiency. The main goal of this study is to check out a phenomenon called random walk, which is one of the most important features of market in weak form of efficiency, and to study the effects of week days on stock price at Tehran Stock Exchange. The results show that solely Tuesdays have positive effects on stocks price. Also old prices have effects on the current prices of the stock exchange that is the old prices can predict the future prices and thus Tehran Stock Exchange does not comply with random walk hypothesis and it is not in a weak form of efficiency.