Optimal investment horizons in TEPIX (Tehran price index) and its comparison with world stock market price Indices

Subject Areas : Financial Knowledge of Securities Analysis

Ezatollah Abbasian ¹ , Ebrahim Nasiroleslami ² , Ehsan Sanee ³

1 - Associate Professor at Bu-Ali sina University, Hamedan, Iran
2 - Assistant Professor of statistics at Bu-Ali Sina University, Hamedan, Iran
3 - Ph.D. student of financial economics at Bu-Ali Sina University

Received: 2018-02-05 Accepted : 2018-06-10 Published : 2019-03-21

Keywords: Investment Horizon, distribution of investment hor, Return, Risk, Inverse Gamma Statistics,

Abstract :

In stock market studies, instead of estimating returns and their distributions at a given time interval, extraction of optimal time and time distribution can be obtained to achieve a certain return. Distribution of time, is called distribution of investment horizon and optimal time is called optimal investment horizon. In this study, distributions of investment horizons and optimal investment horizons through Inverse Gamma Statistics method based on Johansen,Jenson and Simonsen(2006), for the TEPIX and several price indices of the world's major stock exchanges (Nasdaq, Dow Jones Industrial Average, Nikkei 225, Paris Stock Price Index, and S & P 500) is estimated. According to the results, achieving a yield of +5% in TEPIX takes 14 days and a 5% loss takes 15 days. Results on other stock market indices of the world are also examined.

References:

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استراتژی های رشدی و ارزشی در بورس اوراق
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