A Study to Examine Time-Varying Effectiveness of Stock Returns on Tehran Stock Exchange

Rahele SiamiNamini, Fereydoun RahnamaRoudposhti, Mohammad.H Janani

Abstract


The present study aims to examine the presence of various anomalies or 'calendar effects' in stock index returns by using the Tehran Stock Exchange (TSE) index during the period 2004-2010.
The findings show that the weekend effect, the weekend effect within the monthly effect, the monthly effect, and seasonal effect are present in the return equations of GARCH(1,1), GARCH-M, and Modified GARCH(1,1) models.
Analyzes the weekend effect, and also the weekend effect in the first half and the second half of the month; this study finds a weekend effect: Wednesday's returns are significantly greater than Saturday's returns. However, the spread of returns on Wednesday and Saturday will be vary between the first half and the second half of the month.
There are also monthly effects on excessive returns in Farvardin (March 20- April 19), Mordad (July 22- August 21) and Shahrivar (August 22- September 21), and on negative returns in Mehr (September 22- October 21) and Esfand (February 19- March 19) in the Tehran Stock Exchange. In terms of the seasonal effect, the study reveals that the highest rate of return can be achieved in the summer, while the lowest rate is appeared in the winter.

Full Text: PDF DOI: 10.5430/ijfr.v4n2p154

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This work is licensed under a Creative Commons Attribution 3.0 License.

International Journal of Financial Research
ISSN 1923-4023(Print) ISSN 1923-4031(Online)

 

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