Authors : Hossein Kazempour, Ibrahim Rezaei and Farah Dokht Ebadi
Abstract: Today, risk concept has penetrated in financial communities to the extent that it is not hidden for anyone the necessity for discussion about this subject in investment analyses. Researchers assume unpredictable and random variance in investment efficiency as risk and they use variable of standard deviation of efficiency (return) as risk in investment analysis. Market risk is not an exception to this rule and standard deviation of market efficiency index is calculated for computations in efficient markets. However, whereas conducted studies indicate inefficiency of Tehran Security and Exchange Organization (TSEO) thus no one can claim all of changes in market efficiency index are random. Therefore, standard deviation may not be easily utilized in this variable as risk. With respect to this point, Box-Jenkins time-series model has been adapted in this study to predict variance of market efficiency index. Given the results of testing research hypothesis through rejection of opposite claim, there is no significant difference among variance of efficiency index variable and variance of resulting residual from estimation of a Box-Jenkins Model for variable of efficiency index and variance of errors in this model. As a result, standard deviation of efficiency variable may be used for calculation of diversification risk by verification of research hypothesis.
Hossein Kazempour, Ibrahim Rezaei and Farah Dokht Ebadi, 2016. Prediction of Tepix in Security and Exchange Organization (SEO) Using Box-Jenkins Model. International Business Management, 10: 4556-4560.