IDENTIFYING AND MODELING TEHRAN STOCK MARKET CALENDAR EFFECTS: USING ARCH AND GARCH MODELS

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

RAEI R.; BAJALAN SAEID

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

Journal Paper

Paper Information

Journal: JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH) Year:2009 | Volume:8 | Issue:4 Page(s): 21-47

Download Full-Text

Persian Verion

View:

1,494

Download:

Cites:

Information Journal Paper

Title

IDENTIFYING AND MODELING TEHRAN STOCK MARKET CALENDAR EFFECTS: USING ARCH AND GARCH MODELS

Author(s)

RAEI R. | BAJALAN SAEID | Issue Writer Certificate

Keywords

CALENDAR EFFECTSQ3

EFFICIENT MARKETQ2

VOLATILITYQ3

SERIAL CORRELATIONQ3

GARCH MODELSQ2

Abstract

This paper examines the calendar anomalies in daily return of the Tehran stock market. ARCH and GARCH MODELS are employed to capture the wide range of different calendar anomalies exist in the literature.This study finds the evidence of strong Esfand and Mehr effects in the stock return. In addition, the results show that the stock market return has decreased with the lapses of time. After identifying and removing the CALENDAR EFFECTS from daily return, BDS statistic is used to test the presence of any remaining non-linearity in the residuals before employing the GARCH MODELS. The BDS test shows that there is a high probability of the dependency between residuals in spite of removing calendar anomalies. The results confirm that both the ARCH and GARCH MODELS have considerable success in modeling dependencies. Finally, the importance of CALENDAR EFFECTS in return forecasting is tested. The conclusion is that the inclusion of CALENDAR EFFECTS improves the forecast accuracy. However, simple regression which includes CALENDAR EFFECTS has better performance than the GARCH (1,1) models.

Cites

A STUDY OF RETURN CYCLICAL PATTERN MONTHLY IN TEHRAN STOCK (BY USING MOVING BLOCK BOOTSTRAP)

References

Cite

APA: Copy

RAEI, R., & BAJALAN, SAEID. (2009). IDENTIFYING AND MODELING TEHRAN STOCK MARKET CALENDAR EFFECTS: USING ARCH AND GARCH MODELS. JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH), 8(4), 21-47. SID. https://sid.ir/paper/86461/en

Vancouver: Copy

RAEI R., BAJALAN SAEID. IDENTIFYING AND MODELING TEHRAN STOCK MARKET CALENDAR EFFECTS: USING ARCH AND GARCH MODELS. JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH)[Internet]. 2009;8(4):21-47. Available from: https://sid.ir/paper/86461/en

IEEE: Copy

R. RAEI, and SAEID BAJALAN, “IDENTIFYING AND MODELING TEHRAN STOCK MARKET CALENDAR EFFECTS: USING ARCH AND GARCH MODELS,” JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH), vol. 8, no. 4, pp. 21–47, 2009, [Online]. Available: https://sid.ir/paper/86461/en

Related Journal Papers