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.
Highlights
Thaler (1993) believes that the modern financial management regards individuals and financial markets in an immovable and inflexible manner with a mere mathematical logic
Some experimental tests have shown that using specific trading patterns based on different times can provide excessive returns
The current study investigates effects of time on stock returns, by using the time variable, weekend effect, weekend effect within the monthly effect, monthly effect, and seasonal effect
Summary
Thaler (1993) believes that the modern financial management regards individuals and financial markets in an immovable and inflexible manner with a mere mathematical logic. Some experimental tests have shown that using specific trading patterns based on different times (day, month and year) can provide excessive returns. The most common calendar anomaly in world financial markets is the monthly effect; it implies that the mean return for stock depends upon the month of the year there is. The main result of experimental studies indicates the higher return in January than other months of the year. This can be justified by releasing tax statements in December that leads to recognize funds a company can provide for investment. If so, does it follow a certain pattern? Does it follow a certain pattern? And, what are the potential causes?
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