DAY OF THE WEEK EFFECT IN STOCK RETURNS BY USING BOOTSTRAPPING FUZZY-GARCH REGRESSION

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BAZZAZAN F.; SHIRIN BAKHSH MASOOLEH SH.; SAFARI S.

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Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2012 | Volume:5 | Issue:13 Page(s): 99-110

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Title

DAY OF THE WEEK EFFECT IN STOCK RETURNS BY USING BOOTSTRAPPING FUZZY-GARCH REGRESSION

Author(s)

BAZZAZAN F. | SHIRIN BAKHSH MASOOLEH SH. | SAFARI S. | Issue Writer Certificate

Keywords

FUZZY LOGICQ2

DAY OF THE WEEKQ4

FUZZY REGRESSIONQ4

BOOTSTRAPQ4

Abstract

This paper propounds to examine the DAY OF THE WEEK effect on the returns of daily stock price entire index, in Tehran Stock Exchange market during 1383 to 1388. Various approaches have been presented for investigation about calendar effects on stock returns. We apply "Fuzzy regression with triangular membership function". This approach's base is, the fuzzification of the dummy variables through FUZZY LOGIC. In fact, FUZZY LOGIC regression enables us to capture the impression and nonlinearities in finance and human behavior which are main characteristics in finance industry and furthermore, avoids the classification of dummy variables to values of one and zero, as we do in the traditional statistical and econometric methodology. The paper concludes that using FUZZY REGRESSION will lead to a positive effect on the returns on Sunday and negative returns on Tuesday.

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APA: Copy

BAZZAZAN, F., SHIRIN BAKHSH MASOOLEH, SH., & SAFARI, S.. (2012). DAY OF THE WEEK EFFECT IN STOCK RETURNS BY USING BOOTSTRAPPING FUZZY-GARCH REGRESSION. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 5(13), 99-110. SID. https://sid.ir/paper/200255/en

Vancouver: Copy

BAZZAZAN F., SHIRIN BAKHSH MASOOLEH SH., SAFARI S.. DAY OF THE WEEK EFFECT IN STOCK RETURNS BY USING BOOTSTRAPPING FUZZY-GARCH REGRESSION. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2012;5(13):99-110. Available from: https://sid.ir/paper/200255/en

IEEE: Copy

F. BAZZAZAN, SH. SHIRIN BAKHSH MASOOLEH, and S. SAFARI, “DAY OF THE WEEK EFFECT IN STOCK RETURNS BY USING BOOTSTRAPPING FUZZY-GARCH REGRESSION,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 5, no. 13, pp. 99–110, 2012, [Online]. Available: https://sid.ir/paper/200255/en

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