The subject of financial markets efficiency is an issue which has been widely considered by economists and financial researchers since half a century ago. By studying the efficient market theory, the new financial management has confirmed the existence of calendar anomalies such as daily transaction effect, special monthly effect, holiday effect, etc as well as non calendar anomalies like initial public offering effect, neglected firm stock effect, political cycle effect, etc and acknowledges them as anomalies of the efficient market theory. In fact, the recognition and existence or non existence tests of these anomalies are new subjects within investment area in recent years and several studies have been carried out in this regard by using different experiments, specially time series and regression model with dummy variables, which are much observable in developed as well as emerging markets. By scrutinizing calendar and non calendar effects as well as full description of the efficient market theory anomalies, a sample of these effects known as “The effect of special months on Tehran Stock Exchange (TSE) is studied and results of the study are used to test the efficiency of the TSE. Also, the effect of lunar months is considered in order to increase quality and quantity of the research.

There are numerous investment strategies that analyze past market data in an attempt to predict trends in future stock returns. Evidence on the profitability of such strategy rejects the efficient market hypothesis (EMH) at its most basic level: Two recent approaches to investment that have challenged the weak form of the momentum wins EMH are:1) The contrarian strategy, 2) The momentum strategy Many studies provide evidence for the profitability of both these strategies. But in widespread literature have imply to effective factors that overshadow profitability this strategies. Hence for indication this variable one used method is to definition two-stage strategies and then to test those. Herein study has define two-stage strategies by Trading volume, Institutional Investor holding rate, free float stock and base volume and then compare those with one-stage strategies. The finding in this paper show that a strong moment effect, in short term, present in this market, this strategy can create abnormal return. Further analyses reveal that the profits generated by such investment strategies can not be explained by either the small firm effect or the institutional investors or free float effects.

By studying the efficient market theory, the new financial management has confirmed the existence of calendar anomalies such as daily transaction effect, special monthly effect, holiday effect, etc as well as non calendar anomalies like initial public offering stock effect, neglected firm stock effect, political cycle effect, etc and acknowledges them as anomalies of the efficient market theory. In fact, the recognition and existence or non existence tests of these anomalies is a new subject within the investment arena in recent years and several studies have been carried out in this regard by using different experiments specially time series and regression model with dummy variables, which are much observable in developed as well as emerging markets. By scrutinizing calendar and non calendar effects as well as full description of the efficient market theory anomalies, a sample of these effects known as “The effect of special months on Tehran Stock Exchange (TSE) is studied and the produced results of the study is used to test the efficiency of TSE.

This paper deals with this issue, which can be summarized as the conflict between randomness and determinism. On the one hand, there are market analysts who feel that the market is perfectly deterministic; on the other, there is a group who feel that the market is completely random. We will see that there is a possibility that both are right to a limited extent. But what comes out of these partial truths is quite different from the outcome either group expects. We will use R/S analysis, or rescaled range analysis. R/S analysis can distinguish fractal from other types of time series, revealing the self-similar statistical structure. This structure fits a theory of market structure called the Fractal Market Hypothesis.. This reconciliation ties directly into the concept of local randomness and global determinism.
One of the most important area that we focun on is capital market distributions. capital markets are not well described by the normal distribution and random walk theory. Yet, the Efficient Market Hypothesis continues to the dominant paradigm for how the markets work. Standard statistical analysis begins by assuming that the system under study is primarily random; that is, the causal process that created the time series has many component parts, or degrees of freedom, and the interaction of those components is so complex that a deterministic explanation is not possible. Only probabilities can help us understand and take advantage of the process. The underlying philosophy implies that randomness and determinism cannot coexist.

Analytical and comprehensive review of market efficiency resulted in four notions about it: 1- market efficiency is “necessary”; 2- it is “impossible”; 3- and “paradoxical”; 4- and finally it is not a verifiable or falsifiable hypothesis. Moreover battle between market efficiency and market anomalies will continue. Market efficiency has effect on optimum resource allocation in macroeconomic level. The prices in efficient market have role of directive signals to all market players. Therefore, it is necessary. But set of constraints make it impossible. Duality in approaches toward Arbitrage made market efficiency as a paradoxical issue. And finally testing market efficiency need a base model about market expectations like CAPM that result in unfalsifiability or irrefutability of market efficiency hypothesis.

According to Efficient Market Hypothesis (EMH) prices completely reflect all available information. Under this condition, it is not possible to speculators to predict the future behavior of asset prices and to earn excess profits in a system manner. This study examines efficient market hypothesis in Iranian foreign exchange market during time period 21:03:2002-17:06:2010 by using Detrended Fluctuation Analysis (DFA) technique as well as unit root tests including Augmented Dickey Fuller (ADF) and Philips-Peron (PP). Results indicate that the market was weakly efficient during the selected time period. However, it seems that this efficiency is not due to informed behavior of traders but foreign exchange interventions under managed floating regime. In case that the government adopts floating exchange rate regime in the future, prominent acting of the informed speculators and making depth of the foreign exchange market may prevent dramatic foreign exchange market inefficiency and its consequences.

Several studies about microstructure noise in capital markets have found that it is a vital aspect of a liquid market. In the absence of noise traders trading volume would severely decrease. However, on the other hand, market microstructure noise deviates prices from their fundamental values. In this paper, we separate the microstructure noise from the price process and then we ask whether high frequency estimates of microstructure noise contain a risk factor and whether that risk factor is priced in the market, meaning that stocks that covary with our high-frequency measure of noise tend to get compensated in the form of higher returns. We examine this question through a portfolio switching approach by looking at the returns of portfolios sorted on our high frequency measurement of the magnitude of the market microstructure noise. The results show that the portfolio corresponding to the highest quartile noise outperforms the portfolio with the lowest quartile noise.

The study aims at determining whether the tools and techniques of technical analysis are applicable to the Tehran Stock Exchange. The technical analysis goes against the fulfillment of the weak form of the Efficient Market Hypothesis. In this research we have assessed one simple form of technical analysis named by Dual Simple Moving Average rule. To that end, we have used daily data for prices of the 35 firms of the Tehran Stock Exchange, covering the one-year period from 21 March 2004 to 20 March 2005. In the present investigation, the continuation of the past prices is confirmed and so the weak form of the Efficient Market Hypothesis is refused. Also our findings indicate that in the one year periods, returns mean obtained from studying DSMA both with and without considering transactions costs is equal to that achieved from the buy and hold strategy.