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

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YAHYAZADEHFAR M.; ABOU NOURI E.; SHABABI H.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: Year:2005 | Volume:22 | Issue:2 (43) Page(s): 178-196

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Information Journal Paper

Title

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

Author(s)

YAHYAZADEHFAR M. | ABOU NOURI E. | SHABABI H. | Issue Writer Certificate

Keywords

DAY-OF-THE-WEEK EFFECTQ4

EMERGING STOCK MARKETSQ4

TEHRAN STOCK EXCHANGEQ4

CLASSICAL LINEAR REGRESSION (CLR)Q4

Abstract

The purpose of this study is to concentrate on the investigation of DAY-OF-THE-WEEK EFFECT on TEHRAN STOCK EXCHANGE and its comparison with other emerging markets. Using Classical Linear Regression (CLR) as well as Autoregressive Conditional Heteroscedasticity (ARCH) models, it is indicated that there is significantly positive total return on Saturdays and significantly negative total return on Sundays. There is no significant return on the other days of the week. So, one may suggest that it would be reasonable to sell on Saturday and buy it on Sunday. Comparing this result with that of other EMERGING STOCK MARKETS, it can be concluded that the DAY-OF-THE-WEEK EFFECT on returns of TEHRAN STOCK EXCHANGE is different from other emerging markets.

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APA: Copy

YAHYAZADEHFAR, M., ABOU NOURI, E., & SHABABI, H.. (2005). DAY-OF-THE-WEEK EFFECT ON RETURNS OF TEHRAN STOCK EXCHANGE: AN EMPIRICAL ANALYSIS. JOURNAL OF SOCIAL SCIENCES AND HUMANITIES OF SHIRAZ UNIVERSITY, 22(2 (43)), 178-196. SID. https://sid.ir/paper/400650/en

Vancouver: Copy

YAHYAZADEHFAR M., ABOU NOURI E., SHABABI H.. DAY-OF-THE-WEEK EFFECT ON RETURNS OF TEHRAN STOCK EXCHANGE: AN EMPIRICAL ANALYSIS. JOURNAL OF SOCIAL SCIENCES AND HUMANITIES OF SHIRAZ UNIVERSITY[Internet]. 2005;22(2 (43)):178-196. Available from: https://sid.ir/paper/400650/en

IEEE: Copy

M. YAHYAZADEHFAR, E. ABOU NOURI, and H. SHABABI, “DAY-OF-THE-WEEK EFFECT ON RETURNS OF TEHRAN STOCK EXCHANGE: AN EMPIRICAL ANALYSIS,” JOURNAL OF SOCIAL SCIENCES AND HUMANITIES OF SHIRAZ UNIVERSITY, vol. 22, no. 2 (43), pp. 178–196, 2005, [Online]. Available: https://sid.ir/paper/400650/en

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