Empirical Analysis of the Efficient Market Hypothesis in the Iranian Capital Market: An Analysis of Behavioral Irregularities

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Hejazi Dehaghani Seyed Mahmoud Reza; Aghasi Saeid; Abdolbaghi Ataabadi Abdolmajid

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Journal Paper

Paper Information

Journal: JOURNAL OF INTELLIGENT MARKETING MANAGEMENT Year:2026 | Volume:7 | Issue:1 Page(s): 475-500

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Title

Empirical Analysis of the Efficient Market Hypothesis in the Iranian Capital Market: An Analysis of Behavioral Irregularities

Author(s)

Hejazi Dehaghani Seyed Mahmoud Reza | Aghasi Saeid | Abdolbaghi Ataabadi Abdolmajid | Issue Writer Certificate

Keywords

market

capital

Behavioral Rules

Abstract

The purpose of this research is to empirically analyze the efficient market hypothesis in the Iranian capital market: An analysis of behavioral idiosyncrasies. This research is applied and conducted with a quantitative method. The information in this research is based on collecting secondary data from the Tehran Stock Exchange, including panel data from 112 companies over the 10-year period of 2014-2015. The sampling method of this research is non-random and based on the criteria of the company's financial stability, the existence of complete price and return data, and representation of different market segments. To analyze the data, first the variables under study were described in the study period, then the obtained data were analyzed using modeling with a multilayer perceptron neural network (MLP) and optimization with the water cycle algorithm (WCA). According to the results, the average closing price (65,351 Tomans) and daily return (0.0495%, equivalent to an annual growth of about 12.8%) indicate a stable market growth, while the high standard deviation of prices (47,728) and the range of returns (-4.15% to 4.85%) confirm the diversity and volatility of the market. The trading volume with an average of 2.54 million and technical indicators such as RSI (average 52.74) and Volatility (0.9831) indicate high investor activity and the impact of their behavior on stock value changes. Calendar variables such as January_Effect (8.3% occurrence) provide the basis for examining behavioral anomalies. The presence of fluctuations and potential patterns in RSI (third quartile 64.68) and Momentum (range -9.78% to 11.14%) indicate that the market may not be completely random (EMH) and support adaptive patterns (AMH). Fundamental variables such as P/E (average 12.4) and Book_to_Market (1.002) indicate the diversity of companies, which is crucial for classifying return behavior (question 2) and suggesting investment strategies.

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