A Study on the Chronological Changes and Their Short-Lived Effects on the Market Index and the Stock Return of Tehran Stock Exchange Market

Farhad Hanifi, Hamid Mahdavirad, Hamidreza Kordlouie

Abstract


Detection and prediction of return fluctuations of securities have always been of great interest to those active in financial markets, leading to their research in financial and economic fields. This research aims at studying and detecting the return difference on specific days and months of a given year-if there is any. For this research the 2 lunar months of Ramadan and Muharram along with the two solar months of Farvardin- March 21 to April 2- and Shahrivar – August 22 to September 22 were chosen. In order to carry out this research, the return difference of the afore-mentioned months was tested against those of other months. Moreover, the return difference of a specific day of the week, namely Saturday – the beginning day of the week in Iran- was also tested against that of the other weekdays. It should be mentioned that the research also aimed at studying the difference of the aforementioned months and days with reference to the principles of behavioral finance. The research considered a 13 year span of time- from 2001 to 2013. Generally speaking, the following research studies the level of effect of chronological changes on a set of target indexes in Tehran securities market in the pre-mentioned span of time. The statistical method applied for the research is thesign test. The results of this research proved significant differences in the return patterns of the target months; however, these differences did not prove to be meaningful in any way.


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DOI: https://doi.org/10.11114/afa.v1i1.577

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Applied Finance and Accounting (AFA)        

ISSN 2374-2410(Print)           ISSN 2374-2429(Online)

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