ریسک و بازده در بورس اوراق بهادار تهران

This paper analyzes market index returns in the Tehran stock exchange (TSE) within the context of three variants of the Capital Asset Pricing Model: the static international; the constant-parameter intertemporal; and a Markov-switching intertemporal CAPM, which allows for time-varying degree of integration with regional and international equity markets. We find that TSE returns are CAPM-efficient at monthly frequency with respect to several international market indices. Moreover, we find evidence in support of international integration of the TSE with respect to international markets. In addition, we conduct an extensive investigation for the direction of causality between TSE returns, international market index returns, and those in neighboring countries.

Since the early 1990s, there has been growing interest in emerging and frontier financial markets among both financial scholars and practitioners. One of the least studied frontier markets is the Tehran stock exchange (TSE) of the Islamic Republic of Iran. Very little is known about the features of this market. In our study, we address some basic questions about risk and index returns behavior in this under-studied stock exchange. In this paper, we analyze Tehran stock exchange index excess returns to test for efficiency of this market, via three variants of Sharpe (1964) and Lintner (1965) capital asset pricing theory (CAPM). One of the basic questions in our investigation is the degree of integration of the TSE with the international financial system. We first test for the static international CAPM, following Lintner (1965). The objective is to measure the ability of this classical variant of CAPM to explain the behavior of excess returns in the TSE. We find that at the monthly frequency, TSE excess returns are CAPM-efficient and that this result is robust to our proxy for the world market and to inclusion of macroeconomic or financial factors. This model assumes full integration of the TSE in the global system.

This study contributes to our understanding of the basic efficiency and volatility dynamics of the Tehran stock exchange excess returns. We find supporting evidence in favor of international CAPM efficiency at the monthly frequency, and with respect to a wide range of regional and international index returns. Empirically, we could not improve the performance of the ICAPM model through inclusion of factors such as exchange rates and oil price fluctuations or international macroeconomic factors, such as increased risk of an economic downturn reflected in term spreads. Our findings corroborate those of Foster and Kharazi (2008), and point to an interesting aspect of TSE. That is, a market dominated by presumably naive traders can still be efficient, in a classical textbook sense. The TSE is an efficient market, even in the presence of insider trading, collusion, price fixing, and considerable informational asymmetry.19