Test of arbitrage pricing theory on the Tehran stock exchange: the case of a shariah-compliant close economy
This paper provides weak evidence in support for the application of Arbitrage Pricing Theory (APT) on the Iranian stock market in the Sharia is the sacred law of Islam faith.) based close economy. Tests conducted using the principal component analysis and canonical correlation model showed that at l...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Canadian Center of Science and Education
2011
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| Online Access: | http://psasir.upm.edu.my/id/eprint/22625/ http://psasir.upm.edu.my/id/eprint/22625/1/22625.pdf |
| _version_ | 1848844536081547264 |
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| author | Sabetfar, Pooya Cheng, Fan Fah Ramadilli Mohd, Shamsher Mohamad Amin Noordin, Bany Ariffin |
| author_facet | Sabetfar, Pooya Cheng, Fan Fah Ramadilli Mohd, Shamsher Mohamad Amin Noordin, Bany Ariffin |
| author_sort | Sabetfar, Pooya |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | This paper provides weak evidence in support for the application of Arbitrage Pricing Theory (APT) on the Iranian stock market in the Sharia is the sacred law of Islam faith.) based close economy. Tests conducted using the principal component analysis and canonical correlation model showed that at least one to three factors that can explain the cross-section of expected returns in this market. Financial and economical sanctions possibly explain the negative stock market returns which reflect the reaction of investors to the announcement of sanctions. Overall, the results suggest that there are four groups of macroeconomic variables in the test period that affect stock returns for the test period, 1991 to 2008, but the significance of these factors is not consistent over time. In general the findings document a weak applicability of APT in this market. |
| first_indexed | 2025-11-15T08:32:29Z |
| format | Article |
| id | upm-22625 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T08:32:29Z |
| publishDate | 2011 |
| publisher | Canadian Center of Science and Education |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-226252016-09-05T07:14:27Z http://psasir.upm.edu.my/id/eprint/22625/ Test of arbitrage pricing theory on the Tehran stock exchange: the case of a shariah-compliant close economy Sabetfar, Pooya Cheng, Fan Fah Ramadilli Mohd, Shamsher Mohamad Amin Noordin, Bany Ariffin This paper provides weak evidence in support for the application of Arbitrage Pricing Theory (APT) on the Iranian stock market in the Sharia is the sacred law of Islam faith.) based close economy. Tests conducted using the principal component analysis and canonical correlation model showed that at least one to three factors that can explain the cross-section of expected returns in this market. Financial and economical sanctions possibly explain the negative stock market returns which reflect the reaction of investors to the announcement of sanctions. Overall, the results suggest that there are four groups of macroeconomic variables in the test period that affect stock returns for the test period, 1991 to 2008, but the significance of these factors is not consistent over time. In general the findings document a weak applicability of APT in this market. Canadian Center of Science and Education 2011 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/22625/1/22625.pdf Sabetfar, Pooya and Cheng, Fan Fah and Ramadilli Mohd, Shamsher Mohamad and Amin Noordin, Bany Ariffin (2011) Test of arbitrage pricing theory on the Tehran stock exchange: the case of a shariah-compliant close economy. International Journal of Economics and Finance, 3 (3). pp. 109-118. ISSN 1916-971X; ESSN: 1916-9728 http://ccsenet.org/journal/index.php/ijef/article/view/11389 10.5539/ijef.v3n3p109 |
| spellingShingle | Sabetfar, Pooya Cheng, Fan Fah Ramadilli Mohd, Shamsher Mohamad Amin Noordin, Bany Ariffin Test of arbitrage pricing theory on the Tehran stock exchange: the case of a shariah-compliant close economy |
| title | Test of arbitrage pricing theory on the Tehran stock exchange: the case of a shariah-compliant close economy |
| title_full | Test of arbitrage pricing theory on the Tehran stock exchange: the case of a shariah-compliant close economy |
| title_fullStr | Test of arbitrage pricing theory on the Tehran stock exchange: the case of a shariah-compliant close economy |
| title_full_unstemmed | Test of arbitrage pricing theory on the Tehran stock exchange: the case of a shariah-compliant close economy |
| title_short | Test of arbitrage pricing theory on the Tehran stock exchange: the case of a shariah-compliant close economy |
| title_sort | test of arbitrage pricing theory on the tehran stock exchange: the case of a shariah-compliant close economy |
| url | http://psasir.upm.edu.my/id/eprint/22625/ http://psasir.upm.edu.my/id/eprint/22625/ http://psasir.upm.edu.my/id/eprint/22625/ http://psasir.upm.edu.my/id/eprint/22625/1/22625.pdf |