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ijcrb.webs.com INTERDISCIPLINARY JOURNAL OF CONTEMPORARY RESEARCH IN BUSINESS � Zero test of the error term mean ( E(u1)=0) COPY RIGHT © 2012 Institute of Interdisciplinary Business Research APRIL 2012 VOL 3, NO 12 According to table (7) zero mean hypothesis using t- test with the 5% level was examined and the level of 95% to zero with the value of the level of 5 % indicates that the average of error term is zero. The results of tables indicates that the reminders are normal. i.e. the reminders have zero mean value. Therefore, The mean hypothesis of research equation (equation results in table (6) which is zero, is accepted. Table (7-a) Zero test of the error term mean Test Value = 0 Sig. (2- 95% Confidence Interval of the Difference t df tailed) Mean Difference Lower Upper Unstandardized Residual .000 3177 1.000 .00000000 -.3010120 .3010120 Source: Calculations researcher Unstandardized Residual Source: Calculations researcher Table (7-b) Zero test of the error term mean N Mean Std. Deviation Std. Error Mean 3178.000000000 .000000000 8.654602889 .153521851 � The test of constancy of error term variance ( Vra (u1)= According to table 8 , it is seen that calculated value of F statistic test equally (X 2 ) is 0.0005. This value is in the rejection area of the front hypothesis. So. Null hypothesis is not rejected in significance level of 5%, and the significant of regression equation is not confirmed. Therefore, the front hypothesis is rejected and the null hypothesis is accepted. i.e. there is not any relationship between the reminders and explanation variables. In other words, the variance of desired variables is constant and the changes will not increase during the course of time, and the hypothesis of research equation ( the results of equation of table6) is similar and is accepted. Source: Calculations researcher Table (8)The test of constancy of error term variance(ARCH) F-statistic 0.000520 Prob. F(1,3177) 0.9818 Obs*R-squared 0.000520 Prob. Chi-Square(1) 0.9818 Test Equation: Dependent Variable: RESID^2 Method: Least Squares Sample (adjusted): 2 3180 Included observations: 3179 after adjustments Variable Coefficient Std. Error t-Statistic Prob. C 74.88535 59.01023 1.269023 0.2045 RESID^2(-1) -0.000404 0.017742 -0.022793 0.9818 R-squared 0.000000 Mean dependent var 74.85508 Adjusted R-squared -0.000315 S.D. dependent var 3325.786 S.E. of regression 3326.309 Akaike info criterion 19.05774 Sum squared resid 3.52E+10 Schwarz criterion 19.06156 Log likelihood -30290.28 Hannan-Quinn criter. 19.05911 F-statistic 0.000520 Durbin-Watson stat 1.999999 Prob(F-statistic) 0.981817 58
ijcrb.webs.com INTERDISCIPLINARY JOURNAL OF CONTEMPORARY RESEARCH IN BUSINESS � To test the selfcorrelation of error term COPY RIGHT © 2012 Institute of Interdisciplinary Business Research APRIL 2012 VOL 3, NO 12 Table (6) indicates that the Watson camera statistic is 2.7 which indicating their lock of errors selfcorrelation. Therefore, the null hypothesis is not rejected in significant level of 5% and the lack of selfcorrelation is confirmed. So, the front hypothesis is rejected and null one is accepted. i.e. the reminders of estimation equation have not self- correlations (table6). 9.Conclusions and policy proposals The results of research findings indicate that the Tehran Stock Exchange is deficient market because of lack of proper pricing of financial assets (stock) and lack of balance between risk-return and possible opportunities for arbitrage profit. As soon as the production of information, it is not entered into market and its entrance to the market is not causal. Also, the effect of information on prices can not be in one end. According to the research findings, the misinterpretation of information can affect on market misleading and valuing . How to analyze information and the amount and optimism or pessimism level about information can affect on the pricing. Optimists are optimistic to deal with incoming information and set higher prices for them, and pessimists set lower prices even for that valuable information. In one hand, optimists risk more on unreliable futures and predict the future events incorrect. Also, market traders that have less information about upcoming events pay to stock price invasive than others. It is caused the market be inefficient in pricing of securities and they trusted more on incomplete information and excess in pricing based on. The effect of Tehran Stock Exchange on the country , s economic is undeniable. The main task of the capital market is moving up to the effective and efficient allocation of capital of these sources. Therefore, the necessity of an efficient market is felt. One of the necessary conditions for such a market is that all information including accountability and economistic information are available to investors free to interpret them the similar. Obviously, the discovery of the relationship between economistic and accounting variables and investment risk can be reinforcing the need to disclose of financial information. Therefore, the following recommendations from the study are provided: Stock Exchange officials with the obligation to timely reporting of information by companies can provide alternatives information on capital risk to investors to make economic decisions. This includes information such as economic, industry conditions and industry operating profit. According to results, the potential and actual investors in the Tehran Stock Exchange is recommended that you consider the affecting accounting variables in systematic risk and the amount profit as a substitute for systematic risk when buying or selling the companies stock. 59
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