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فهرست مقالات

days-of-week effect on tehran stock exchange returns: an empirical analysis

نویسنده:

ISC (16 صفحه - از 149 تا 164)

The purpose of this study is to concentrate on the investigation of days-of-week effect on Tehran Stock Exchange and its comparison with other emerging markets. Using Classical Linear Regression (CLR) as well as Autoregressive Conditional Heteroskedasticity (ARCH) models it in indicated has 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 days- of- week effect on returns of Tehran Stock Exchange is different from other emerging markets.

خلاصه ماشینی:

"Most researchers in the United States, the United Kingdom and Canada such as Cross (1973), Gibbons & Hess (1981), Keim & Stambaugh(1984), Theobald and Price (1984), Jaffe & Westerfield (1985), Harris (1986), Smirlock & Starks (1986), Board and Sutcliffe (1988), Kohers and Kohers (1995), Tang and Kwok (1997) for six indices [Dow Jones Industrial Average Index (US),Financial Times Index (UK), Nikkei Average Index (Japan), Hang Seng Index (Hong Kong), FAZ General Index (Germany) and All Ordinary Index (Australia)] and many others have come to the conclusion that Mondays’ average returns are negative and Fridays’ are positive. On the other hand, studies on the Spanish stock market have revealed that either there is no days of the week effect, [Santemases (1986), Pena (1995) and Gardeazabal and Regulez (2002)], or that on Mondays, the average returns are positive [Abascal (1993)]. Regarding the Greek stock market for the existence of days-of-week effect the results depend on the time period of researches: During the period 1985-1994, there were negative average returns on Tuesdays and positive during all the other days, with the highest being on Fridays, [Alexakis and Xanthakis (1995)]."

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