EMPIRICALLY EXAMINING OF THE EFFECT OF WEEK DAYS ON FUTURE CONTRACTS MARKET OF BAHAR AZADI COIN IN TEHRAN MERCHANDISE EXCHANGE

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TATAEE PEYMAN; SEIFODDINI JALAL; AHMADIPOUR EMAD; AZADI LEILA

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Journal: INVESTMENT KNOWLEDGE Year:2013 | Volume:2 | Issue:6 Page(s): 29-44

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Title

EMPIRICALLY EXAMINING OF THE EFFECT OF WEEK DAYS ON FUTURE CONTRACTS MARKET OF BAHAR AZADI COIN IN TEHRAN MERCHANDISE EXCHANGE

Author(s)

TATAEE PEYMAN | SEIFODDINI JALAL | AHMADIPOUR EMAD | AZADI LEILA | Issue Writer Certificate

Keywords

EFFECT OF WEEK DAYSQ2

OF FUTURE CONTRACTS OF BAHAR AZADI COINQ2

IRAN MERCHANDISE EXCHANGEQ2

CONDITIONAL VARIANCEQ2

RANDOM WALKQ2

MARKET INFORMATION EFFICIENCYQ2

Abstract

This study empirically examined the EFFECT OF WEEK DAYS on future contracts of Bahar Azadi Coin in IRAN MERCHANDISE EXCHANGE. We used the classic Linear Autoregressive and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) to show that there isn't a standard pattern for the return OF FUTURE CONTRACTS OF BAHAR AZADI COIN. Also, we presented that the daily return of future contracts depended on previous day and even the day before. Thus we concluded that the prices didn't follow "Random Walk" phenomenon in the future market of Bahar Azadi Coin and we couldn’t find any evidence for MARKET INFORMATION EFFICIENCY in weak level.

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References

DAY-OF-THE-WEEK EFFECT ON RETURNS OF TEHRAN STOCK EXCHANGE: AN EMPIRICAL ANALYSIS

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APA: Copy

TATAEE, PEYMAN, SEIFODDINI, JALAL, AHMADIPOUR, EMAD, & AZADI, LEILA. (2013). EMPIRICALLY EXAMINING OF THE EFFECT OF WEEK DAYS ON FUTURE CONTRACTS MARKET OF BAHAR AZADI COIN IN TEHRAN MERCHANDISE EXCHANGE. INVESTMENT KNOWLEDGE, 2(6), 29-44. SID. https://sid.ir/paper/188125/en

Vancouver: Copy

TATAEE PEYMAN, SEIFODDINI JALAL, AHMADIPOUR EMAD, AZADI LEILA. EMPIRICALLY EXAMINING OF THE EFFECT OF WEEK DAYS ON FUTURE CONTRACTS MARKET OF BAHAR AZADI COIN IN TEHRAN MERCHANDISE EXCHANGE. INVESTMENT KNOWLEDGE[Internet]. 2013;2(6):29-44. Available from: https://sid.ir/paper/188125/en

IEEE: Copy

PEYMAN TATAEE, JALAL SEIFODDINI, EMAD AHMADIPOUR, and LEILA AZADI, “EMPIRICALLY EXAMINING OF THE EFFECT OF WEEK DAYS ON FUTURE CONTRACTS MARKET OF BAHAR AZADI COIN IN TEHRAN MERCHANDISE EXCHANGE,” INVESTMENT KNOWLEDGE, vol. 2, no. 6, pp. 29–44, 2013, [Online]. Available: https://sid.ir/paper/188125/en

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