&1 -' 1 B'1 :1 -;< 1=>-7

95/1/17 :4B a6 95/7/17 :M = a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`1 Mohammad_Tash@eco.usb.ac.ir "#! "#! -

1395 244 0))1 * (-./$# % &' () * *+, (*67 () 0-8 92.1 : > &% * (: 0,<= *.,4# ( * 3 %_ -2 "# : *; * 1-3, CD% * */* = A -(> B>, * 1 > - B,.2.7/ ; ( > F$, (./* > 3E $,- > 2 *E+ 9$H (*67 0 *=3%../* F *+ ' K : 98L * $( 0-2 *M * 70 *( -( *;.(1388 -H > 7 - ) $ *M N :./$# *; H T -0./$# -S+ H* N :./$# 3 S 0./ -7E, 2 U % V, %*M * (- Ross, ) -! (- %( (W X6, # -1,.(1976 4 N : 87 + FH Z7 K V, %*M N :./$# *; -E# > 0 -'D *' [ + : -8 \% -2 ( > *; 0 * * -2L (Harding, 2008). ] 9H > *H$,- E, - \% N : 87 + FH - * 5-0.(kallio & ziemba, 2007) $ ( -$H E, 9H [ V)7 [ B3 * _`, 0 a%-./$# : [ K 9H (: * * bc - E 9H *! > 2`,W <(: ( < (- E, 3 * [ 9H E, Z7 *./ [.(1386* -1) g6 K) > ` 0 >: * /e(fw D _E2'.(Tavakoli Baghdadabad & Glabadanidis, 2014) *DW T 1- Market Efficiency 2 -Quadratic 3 -Sharp, Lintner and Tryner 4 -Ross 5-Arrow

245... B. ; :1 -;< 1=> -7 86 ; [6 < [ [ &' K!E K) 0 - FH > - L -7 (e(fw * -H [, ( D e) K) 0 * -E 0 ( - Markowitz, 1959; Estrada, 2002; Post & Van Vliet, ) -$ ` -D > + *M * _E2' > E, - 0 -% ; * *7 i/ -H [, 9D _E2' -$, L 0.(2006 h' T < H 1, T.(Estrada, 2002, 2004) DW CAPM CAPM -H [, g2# V)7 h' [ ( E > * > *$+ > -H ( g2# ( E 0 * -2L $ ` T - FH -% ; * e(fw 0.*7 # - APT 1, APT g2# h' T < + ( E > ( E j1) * k g2' * >./ ` (D-APT) h' APT H % : -, S2: * Tl.<>W - 4)1, ; -3 4)1, *W % _=W (*7 0$= * = /- % : V3, m -% > ` APT./- %9-d- -, >: * -7 _E2' *%./ (*(,e.*dw ( > F= -(>./bn, "# o -2 (p -2 (9H ) ] 9H * F= -(> L _E2' 0 -(> - ( -(> 0 T - E j1 T > `. # -> 9H 1 2 *.7/ F (1976) K ` V, *> 0 *E2' 02 2 F= > "# o (p [ D 0 \3, (1988) / r8, <= 9H = + (fw * # - 0WN -H > (2001) 4 *!( 3 -!. > 2, :7 1- ElTon 2 -Gruber 3 -Sadorsky 4 -Henriques

1395 246 # `.s -+ _t"1 F= $# ; > 0$u, F ( t $# > v > -(> * 0 > - L (fw m. $# > -(> es7 * w* F= $# -(> -$( bn, F= $# -(> e( xh > v es7 F= -(> es7 xh t 1 *$+> "# o (p F= -(> *' - * (2008) -/./- ` $# - C2D 2, -+ D > v W *6H j" $# CD% * : > - L m.dw 0 ( * 9> =y L "# = + -E *' F= > CD% ($# ` $# *w > v 0 -$20 -D "# o 9H bn, 92 * 0!$ 0 -E *' L *%./ F= > -(> 0 0<( % F= > -(> > (CD% _ *' 91, *S, * (2008) 3 % 2 2. 7 F, -E8 2, W *6H *$+> o "# (p > *H$ 0 F= (p F= $# 0 *' [ ( m.dw = (v > v (p F= >!$H 0 3z *' ( 0<( o "# N :./$# *; (2010)!$( {. _ o "# >: %-Lw /. # >: 0 = A > 3 % > p * 0<(./$# 9W i > -, -(>./bn, 9H H* : * $# 3 7 i> * > i> = A -(> 9H * 0 bn, FH ( e(fw m./ ` >: +9# 0 = A > N :./$#, * -E 0 *SD A = v) m */ "# o (p bn, -> *.DW = A K F= -(> (2012) #. (-E8 _2, -(> -E8 _2, *SD *6# A = v 0 3z *' [ ( To/ :p -,.3 -E : ; > g6 F=. # -> h' [! N :./$# *; (2014) 1 -Gay 2 -Liu 3 -Shrestha

247... B. ; :1 -;< 1=> -7 86 ; [6 < 1 ( 0<( S2 F= K %*E F= -1990 163 / (: *E2' -> S 9) * (p H* "# o p -, %re, (p -$, * : > - L m. 2010-1998 1998 _` 9H ( * -E 0 D-APT F= -(>./$# -E8 _2, :> _ 3H 9H 0 ; -(> -$= bn, [ 2. > > >TW v = v -> D > v ` $# F, v ( % F= -(> >./ bn, -! 9H (1388)!$( *( _ 8 * 1384, 1382 -> -$%W E8 E7 > -(> > (p N :./$# > `. # - FD ` $# _p, 8 F, v _p, 8 > E, v _p, 8 > p g6 * 0 > - L (*67 >: m.7/ # ` -))1, (1389)!$(. -E : 12 > > -(> > *H$ F= ) > CD% % v 0 _ *' 0E, j( -` : > v -) % v F, v 93# > "# o (p, 1377 -> -"7 _ 8* ( 4)1, 0 (:. F 91, *S, -E>, (*`# / D i > ` 1386 (p _ *' + > - L S -E$+ <( >: m. # -w% >: * (1390) W -os. ) > CD% % v S "# = 0.DW =, = A K N :./$# *; i> * 7 i> 3 ( % * S : * $# 3 p [ > - L S >: m.7/ ; 9) (p H * ( % > _ 8* -> > 0 8 95 $w X' (p 0 0 -'D *' *; - j( -(fw (1390) >7. \ 93# > "# o (p -ew _p, bn, N :./$# _2, = (v D ` $# > v W *6H F, v 0))1. F =, = A K <= ( ; -(> -E8 1 Malaysian Stock Market 2- Saving Rate

1395 248 -)' [ N :./$# *; * 7 * 0 * *E2' 0 S "# o (p %- h1 <= ( ; -(> X6,.%- re, =, = A K [,$ [ B H * -E K N :./$# 2 V% # >: * (1392) - gw - % 20 $# * \ _How ; 0 *.DW =, = A i > 0<( 7/ # ` :/ # >: ;* LR : > _te < 0$u, "# o CD% e% SUR 0$u,. 0$u, i ( =.% ` N :./$# 2 V% 0 - * (1393) S 98 j32#. =, F= K APT # * 7 i> 3 > > -(> j8 <( -H : * DW }6 F= -(> X6, -, -/%) [ 9H h% > i> 0.3671 \3, g6 > > j8 * 0 > - L e(fw m 1.442 g6 > i> * 7 i> 3.D >,< $L ~S+ >,< $L 0.2729 g6 -/%) 0.1157 $L K!E = A K %*7.W ( % > -E \3, * ( -H %,e * 0. =,.%- *!. _E2' L 0 * %j E 9!% E j1 T > ` APT 9H * w* %- E (*7 _E2' 0 * 0 F.*7/ 1 > - SSH) # "# o 9H E, bn, 1, F= -(> <) h' [ ( E > APT 0$u, =+ e(fw 0.(2006 o p e% > e(fw 0 0<(. % ` (h' T v j" F, v [W ` -=+ $# K CD% > v "#. % ` 0$u,./l 1- Azeez and Yonezawa

249... B. ; :1 -;< 1=> -7 86 ; [6 < e U H 1, -H K -'D./$# [ (1976) K `.$ *M 2-U % CAPM * 3,-$H H * APT ; -(> `8 -H ( (2`,W *$( * - 0 (1+k) V, % - -(> 0. [ v v 0<( k 9H > [ ( [ j8 > *H$ [ * }+ -H 0 i > * /- 9!% Z7 0 APT *2.$- 0E, [ :%- > _ 8* -H K ** - R = ER +b δ +b δ + +b δ +u,i = 1,,N (1) > F i - > > _ 3H g,, * u δ b ER R : * > (9H ) F k 9H * F i - L F i - ; > t Z7 f > * od ~S+ Eδ = 0 * 0 Z7 F k 9H σ 2 i i j * -> Eu,u = 0 - E ; > * Eδ,u = 0 (1976) K Eu = 0 `.i = j *! -> :/- (2) *2E _ 8* V3,b -H ( * -'D _ 8* ER = λ +λ b +λ b + +λ b (2) L R [ - > > _ 3H g,, * λ λ 0 : * APT -./$# (2) *2E.k 9H * > $# [,$ 9H [ j8 > -'D -E, - [ ; > * (- (D CAPM * (2) *2E /: % = 1 / L. "# [ [ / =.% (D V3, - [ * ; > * w* % *2E * (2) *2E R = λ 0 Z7 % + R > [ - :%- 93, (3)

1395 250 ER R = λ b +λ b + +λ b (3) >+ * -H / [ H * APT -> -> 0S+ (2) *2E (3) *2E p, > w R (- _ 8 * t w -'Ds (/ > *H$ _ 8 0 * < - ::- * (4) *2E, % &' λ = () &* λ * +! *' ++ &' *- *7/ ; k = 1-7", 9H [ N :./$# *' *!" 1 )[ j8 H* -2E, V% * 0 λ 1 > = r8, [.%- (5) *2E _ 8* - ; > 2L 0 % *7/ ; (- R F :/- (4) E% & = %. +[! %. ]) & 9H * L L 2`,W [ ; > > _ 3H! 1* :% -> (6) *2E _ 8*,- APT - w*.`8 L (5) ER R = [! %. ]b + +[!, %. ]b (6) * 0 Z7 ) % `, -'D / *2E H* (6) *2E / g6 ((- 9!% p, -'D w* 9H B>, -(> :%- re, CAPM $( b b = 1234 5,6 7 3846 7 = 9 57 9 7 : (7)

251... B. ; :1 -;< 1=> -7 86 ; [6 < 2 0 T > _ 3H g,, * >, > &, =?%!, ;<=% &,!, * -8 ~S+.F k 9H > T F k 9H -(> F i - -(> 9H T F k 9H F i - j1 > [ b (9!, ** * [ K) * 0 > - L > (% L0. F k Markowitz, ) -(1 B %- E j1 T B 0 > -!.(1959; Tavakoli Baghdadabad & Glabadanidis, 2011 _ $( j( -(> v 0 >,t _ T * 0 ; 0 L > -/ W *31 j( -(> v 0 >,0W E j1 T s - -(> B>, * -> 0 a/- Tavakoli Baghdadabad & Glabadanidis, 2013, ) E [ > /- - -(> * [ E F=` -, 3H *.(2014 TW.S/ [ % > 3 * * : > 7 * X6 S -7w Z7 */( -2 g D -E# re, [ -7 (% jw -$ A8 [ re, -(> -/ W E j1 T > TW * > -(> ) B>, > - L T < 0 a(1391 -=,) (u [ > -3 K)./* * 0 92 02. T >,)E E 92 * -(>./* * h' _p, 0 *! S/ h' _p, > s _ 8 * _ 8 * * 0 F. [ <!L [ > -E# -=` <) w*,- T < -(> B>, *31 j( > v 0 > -(> _ 0<( T <.%.(1386D -H ),h.+ T > 0 > /- ; [ (*S( bn, %-$ # * 0 E j1 T 1 -(> E j1 T L 0. ; _oe _oe b $w FH >,g E % [ >,g E * 0, 2`,W.(Tavakoli Baghdadabad & Glabadanidis, 2014) ( 0 S T (1 *3s -7 -, (e(fw (% * E T < 0<( s B>, -(> * ))L

1395 252 >,g E /- ; _31 0 > -(> j1 =, 1 s B>, * % )H (2005)!$( /../* [ ]. T * 3, E h' [ E -(> 2 *E D 2`,W!$H -> _o! - (1985) ] o -$ * -118 m `,W [ *31 T > ` * 3.$ =W h' [ ( E > ` -! 0 B7. # *) [ m ( E h' [ ( E (20042002) h' [ ( E * 7 * 0 * D (e(fw -$, 0$(., [ m ( E -$, * 3 h' *$+> -0! -3 0S+ H * [ * \ _E2' (2000) 4 [ ( T <-0 h.$ =W T * * 0 * *E,./$# ( * h' m ( * 3 h' [ +! %*E2'./$# [, + h *M (2007). (D +9# = m.dw CAPM -H [, m h' *) * -H +9# = CAPM * 3 h' * 0 > - L (e(fw - * B+ -(1 > - L A7 _E2' -$, m *.. 9H -, w* N :./$# *; 6L e(fw % * *$( -, V, 0.7/ (D # >: h' [! ( E j1) T + * 0./ *M (2014) To/ :p 9H * * F=` 0 a/- ` ( E j1 <) T < > > _ 8 0 TW./- 9H 0S+ 9H h' % V _ 8* %- (D-APT) h' N :./$#, H 0 :/- *27 (8) *2E 1- Gan 2 -Bookstaber and Clarke 3 -Estrada 4 -Harvey and Siddique

253... B. ; :1 -;< 1=> -7 86 ; [6 < A > F i - > > _ 3H g,, * ) &, R f @@@!, ER R : * k 9H * L L 2`,W [ ; > F i - ; > t Eu = 0 > v i = j -> F k 9H * F i ) &, A R it = E(R it ) + (!@@@@ A G R f )) & +... + (!, @@@@ A R f )) &, + +&', *! Z7 F σ 2 k i = 1,..., N 9H 9H * `8 L F i j * -> Eu,u = 0 Eδ,u = 0 = A 0 * 3 0W -(> L [ /: % `, -'D / *2E H* 8 *2E /.(h' [ ) : (D (9) *2E _ 8* (8) A ) &, = HIJ123K,6 7 = I MNO[4 5PQ 5,] NO [4 7 P Q 7,]} (9) HILJ3846 7 IMNO[4 7 P Q 7,] : } A g,, * F, F & %, % & BCDE=?%!, BCDE;<=Ri,!, ) &, * 9H -'D 93, i - > 0 h' T h' [ > _ 3H F k 9H -(> F i - -(> F k 9H -'D 93, h' T F k w F k 9H -(> 0 0$u, w Fi - -(> 0 9H > -% F= -(> -ew ('D * - Z7 (8) *2E.0$u, A "u (u) f > 0<( (@@@!, - R f ) = A -$, 0 * k ; > (1976) K `! 43w 0 a( ] i (10) *2E 4' %- \ ) A = -H ( * -'D w* i - E :/- A A E(R it ) = λ 0 + [λ 1 - λ 0 ]) & +... + [λ k - λ 0 ]) &, (10) > L (R f ) - [ > > _ 3H g,, * λ 1 λ 0 * - [ ; -(> D-APT (10) *2E.F k p * > /. - r8, "# [,$ 9H [ j8 > -'D -E, H * (D (2002) V, %*M D-CAPM * 0 /: % = 1

1395 254 r8, = A h' > -'D -E, H* ; > * % R F = ) * 0 Z7 ) R f -(> v [ - [ + =. - :%- -> (11) *2E _ 8* (10) *2E /- xh ((λ 0 A A E(R it ) R f = λ 1 ) & +... + λ k ) &, 0 a p, > w <(- >+ D-APT -, >: ;* R f * (10) *2E (11) *2E -S+ T -> > -'Ds / :% (D -> (12) *2E _ 8 * : (D (11) k, A R it λ 0t = *-) &* (λ j +! *' ) + u it ) &* A NK - * 2`,W N > ( T 9% (12) *2E (13) *2E _ 8* : -, -/f (12) *2E ->.% > 0$u, λ j :/- (12), A R it λ 0t =T & + *-) &* f jt + e it :%- e$ (14) *2E _ 8* b [T & * (13) ) &* A, *- λ j (14) 9# * 0 > _ 3H * Cu S * D-APT * X6 0<( -'D./$# -E') -'Ds (1 >: (14) *2E * -E 0 - $H (14) *2E./$# (1! (- -$, - 9H 0 j [ $# * (-. - <(7 D-APT 3H -, >: F>t \% (1 0.% (1 > `,- : Tl > 0$u,,- (13) *2E (14) *2E./$# 1 $H.> 0$u, (14) *2E 4' APT >: *2n 0, (- * >+ 0 (13) *2E 0$u, m : *)

255... B. ; :1 -;< 1=> -7 86 ; [6 < * -H D-APT./$# (1 $H : * < ;*.D %- -16, _ # e( xh %- : -E * -> (15) *2E _ 8 * (12) *2E [ j8 (L * - :%-, ρ = % & λ = (λ * V W +! * ) &* ++ & *- (15) T 1 _ 8* T E, * *! T [ H * V W * :%- re, (16) *2E _ 8* R = [R 1,...,R T]^,a = 1,,b, λ = [λ 1,...,λ T], δ = [δ 1,...,δ T]^,j = 1,...,K, u = [u 1,...,u T]^,i = 1,...,N (16) λ [ * * ρ = % & λ > -(> (15) *2E * p :%- -> (17) *2E _ 8 * (15) *2E. > (9# ρ = [λ^ l \ +δ]b d +u = Xλb d +u, i = 1,...,N (17) *2E N _ 8* Xλ \ ] = λ^ l \ +δ! oh * :%- *% ρ oλ 0 0 0 ρ n s g k 0 oλ 0 0 A f. m r g) + k g k j = m.... r f. j + f. j. m.... r.. eρ h i l 0 0 0 oλq e) A t i e+ t i ) A + (18)

1395 256 :%- (19) *2E * *8oD w* (18) *2E -> *2E _ 8* oλ = λ^ l \ +δ./ + ρ (19) (19) *2E 0<( :%- -> (20) ρ = [I h λ^ l \ +δ]b d +u (20) > K 1 [ λ = A > -(> > NT 1 [ ρ * b d K 9H _( > T K T, [ δ h' [./$# * -2 =.%- N N T, [ (L > NT 1 [ :/- (21) *2E _ 8 * 7/ (D # - 6L e(fw I h % &' = T +{ A Co &' +{ A Ebv &' +{ A Eb} &' +{ ~ A <Ew &' +{ A vcx &' +y &' (21) -(> :> _ 3H g,, * y &' vcx &' <Ew &' Ebv &' Co &' % &' : * t > F, v t > K CD% t > > v t > i `,W.'D t >./l v t > ` $# M > ` -3, 9W / 3 -, -$ e(fw [ *E2' 0 e% * p H * =, = A K *E F= 97 -(> a 1393, 1384 -> > 9) (p H * "# o p D 2E7 0 - S B8 S+ ( % 0 * */* * p.%- ( 12/29 * -= (: -2! B'# - *31 [min(% & % z,0] _ 8 * * F= *t -(> D-APT F>t (9E, 0 : S7 F > % ƒu F= -(> *31.% 9) (p. % F F= *S, F), 4L S+ F= )

257... B. ; :1 -;< 1=> -7 86 ; [6 < ` -=+ $# K CD% > v % 0E, ew > "# o 9H S _ 8 * * %-./l v *t (p 0 -$, * \ ( ƒu opec.org goldprice.org _How *M * -`8, : *M F/ 02.%- *31 j" F, v [W [min( &. % z,0] S [ -$ h > %-.% B1B K-@&6 %f[6 0$u, > 93# eu 0 * L * >: 4w > *.<>W- e(fw (p \3, *W >: E F/.%- *DW e(fw (p - - - b _b 0E, =+ 0$( >: 9W n, _ 8 } 0E, =+ b } 0E, > TW * -3, 9W / i g2# (0$u, 0 -$, 0 -'D<( e(.7/ (D # - -7", _b.> <(D 0$u, -= : -S 92 * 0<(.7/ (D # >: 9# -> -E') ( * -,b /> : i, (p *M -`8, ( :. <(D = ( 0$u, GLS 1 > -% E j1 * 0 ) z L 9#L -/ 18.038 1.7018 2.859 4.5378 1.4104 1.6468-2 3.18746 0.72176 1.1235 1.06-0.00133 0.1115 9% 1 $% + %. - w % 97 -/ -2 j1 E 91.9813 10419 23587.39 9.006 26.64 2.909 '-(6 < :1 O <$ -79.52 9187 7966.5 4.534 48.77 13 <$ 810.34 34358 79015.4 41.2137 123.09 22 * 13.395 10233 17915.8 18.689 86.64 16.625 0 39.71288 17580.10 27865.47 18.828 82.774 (p e(fw > v > v K CD% F, v j" ` $# -l v 17.275./ 4)1 ( *7 :.DĤ 1- Generalized Least Square

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259... B. ; :1 -;< 1=> -7 86 ; [6 < >. % ` (PP-Fisher ADF-Fisher IPS) 0% W < a (>: ] L * (>: > -2 02 A7 (>: L * (>:.%- -E') L * (>: > 0% W < pp-fisher -E X' : / *M 2 + 4' h' [! (p * \ : 658.57 1050.44 515.381 2027.74 385.419 674.463 -G g1 %d < :2 O ADF-Fisher -E X' : 547.24 518.55 507.047 1072.98 389.82 707.23 2-1 1 IM, PESARAN & ) -E X' (SHIN : -13.419-11.428-12.351-30.401-8.758-18.470 -E X' h 2h (LLC) : -22.846-24.429-17.739-40.9003-10.846-29.413 < -G B ; Q 1 Q RN I; 6 Q 99F3 J ' -7 Q 1=>B S 4)1 ( *7 :.DĤ (p -$, -E X' * + : > X' * + : > 2+ m 4' pp- ADF-Fisher a0% W < a -2 02 L * (>: K -2 02 >: K (p 0 -$, `/,- 0.01 > afisher 0% W < (>: 0<(. ] L * - L * (>: m. + -E') L * (LLC) * (-. D-APT (p -$, X' ` } 0E, / 0E, } 0$u, > 93# >: (: 0,m >: (pool).%- ` -`u (>: > -3, ( %g, ( : 9) b b > ` LM >: -7", b 9) b _b > ` 0$(. (pool) 9) -7", b > `

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