THE RELIGIOUS MONTHS EFFECT ON THE STOCK MARKET RETURN, VOLATILITY AND VOLUME IN THE STOCK EXCHANGE OF TEHRAN

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TEHRANI REZA; BAYGINIA HOSEIN

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Journal: INVESTMENT KNOWLEDGE Year:2012 | Volume:1 | Issue:3 Page(s): 1-25

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Information Journal Paper

Title

THE RELIGIOUS MONTHS EFFECT ON THE STOCK MARKET RETURN, VOLATILITY AND VOLUME IN THE STOCK EXCHANGE OF TEHRAN

Author(s)

TEHRANI REZA | BAYGINIA HOSEIN | Issue Writer Certificate

Keywords

CALENDAR EFFECTSQ2

RELIGIOUS MONTHSQ2

RETURNQ1

VOLATILITYQ2

VOLUMEQ2

GARCH MODELQ2

Abstract

This thesis investigate The RELIGIOUS MONTHS effect in Tehran stock exchange (TSE). The religious month effect is seasonality or calendar anomaly that has been studied and documented in finance literature. This anormaly indicates the repetitive trends or patterns in the time series behavior of stock market.In this study the total index of TSE for the period of 1420-1431 hijri (moon year) are examined to specify the probable pattern in trading days of TSE in term of RETURN, VOLATILITY and VOLUME.In this research regression analysis are used for monthly data of TSE. Both OLS methodology and new specification of GARCH MODELs are used to specify and separate the effect of various months on the dependent variables.The results of testing of regression analysis support validity of Ramadan and Zi Hijjah effect on VOLATILITY and Zi Hijjah effect on RETURN.

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APA: Copy

TEHRANI, REZA, & BAYGINIA, HOSEIN. (2012). THE RELIGIOUS MONTHS EFFECT ON THE STOCK MARKET RETURN, VOLATILITY AND VOLUME IN THE STOCK EXCHANGE OF TEHRAN. INVESTMENT KNOWLEDGE, 1(3), 1-25. SID. https://sid.ir/paper/188028/en

Vancouver: Copy

TEHRANI REZA, BAYGINIA HOSEIN. THE RELIGIOUS MONTHS EFFECT ON THE STOCK MARKET RETURN, VOLATILITY AND VOLUME IN THE STOCK EXCHANGE OF TEHRAN. INVESTMENT KNOWLEDGE[Internet]. 2012;1(3):1-25. Available from: https://sid.ir/paper/188028/en

IEEE: Copy

REZA TEHRANI, and HOSEIN BAYGINIA, “THE RELIGIOUS MONTHS EFFECT ON THE STOCK MARKET RETURN, VOLATILITY AND VOLUME IN THE STOCK EXCHANGE OF TEHRAN,” INVESTMENT KNOWLEDGE, vol. 1, no. 3, pp. 1–25, 2012, [Online]. Available: https://sid.ir/paper/188028/en

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