Testing the weak from efficiency of the firms privatized under 44th Iranian constitutional law in Tehran security exchange

This survey examines the weak form efficiency for 8 companies which have been listed since 1385 based on Iranian article 44th privatization program using their daily price return. The study employed different tests of random walk: (auto correlation test, run test, unit root tests (ADF, PP,ERS and KPSS), variance ratio test, then the series predictability was examined by using the ARIMA model. The results of the tests conclusively rejects the weak form efficiency of this sector of Tehran Security Exchange.Both of the tests revealed that the price changes are not random and are serially dependent. Similarly, the unit root test which is necessary for a random walk, are absent from the return series. The variance ratio test result also rejected the presence of random walk in the index return series. Finally, the ARIMA model could forecast the stock price of the firms with much less errors.