INVESTIGATION OF CONVERGENCE OF RETURNS ON STOCK MARKETS IN IRAN
Due to the nature of the assets in Iran, markets such as stock markets are options facing investors as asset portfolio, with different returns. Usually, investors are looking for higher returns. By accumulation of investors on markets with higher returns, it is expected that the long-run returns of such markets be decreased, which leads to the induction of difference between these markets’ returns with other markets. This can be named as returns convergence of different asset markets.
This study aims to also examine the returns convergence of stock markets in Iran over the period 2009:05- 2016:02, using Nahar and Inder method. This method examines the returns convergence of each of these markets to the average returns of them.
Based on the results, the returns of banks and credit institutions, industrial companies, mining of metal ores, chemical products, refined petroleum and nuclear fuel, cement are converged to the average returns. All coefficients are statistically significant at a confidence level of ten percent. But basic metals, telecommunications, multidisciplinary, automobile and parts, engineering services, materials and Manufacture of coke, lime and plaster, materials and pharmaceutical products, transport, storage and communications, computer and related activities, mass product, real estate and food products and Beverage except sugar`s returns has not converged to the average returns.
This study can be called as the convergence of diverse market. Namely, returns of different investment markets will be converged on each other in the long term.
The present study, when focusing on the examination the returns convergence of stock markets in Iran, differs from the previous researches.
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