Relationship Between Two Stocks Pricing Approaches In Tehran Stock Exchange
Subject Areas : Financial Knowledge of Securities Analysis
Keywords: Technical Strategy, fundamental Strategy, portfolio modern theory (PTM),
Abstract :
In this study investigates relationship between two technical and fundamental Strategies in Tehran Stock Exchange.Technical strategy was calculated base on Moving Average (MA) , Exponential Moving Average (EMA) , Relative Strength Index (RSI), Money Flow Index (MFI) and Moving Average Convergence Divergence (MACD) indexes and for calculating fundamental strategy Capital Asset Prising Model (CAPM) has been used.The recent research is a kind of applied once.It is considered as correlation research.The results obtained from the assumption test within a 5 year period (2005-2009) reveals that there is a significant and positive relation between return calculated by the 5 technical indicators and Holding Period Return (HPR); and there is also such a relation between return obtained from CAPM and holding period return. Other results obtained from the test shows a significant and positive correlation between the expected return of MA, RSI, and MFI indicators and the return obtained from CAPM, but there is not significant relationship between EMA and MACD indicators and the return obtained from CAPM.