Document Type : Research Paper

Authors

Abstract

By studying the efficient market theory, the new financial management has confirmed the existence of calendar anomalies such as daily transaction effect, special monthly effect, holiday effect, etc as well as non calendar anomalies like initial public offering stock effect, neglected firm stock effect, political cycle effect, etc and acknowledges them as anomalies of the efficient market theory. In fact, the recognition and existence or non existence tests of these anomalies is a new subject within the investment arena in recent years and several studies have been carried out in this regard by using different experiments specially time series and regression model with dummy variables, which are much observable in developed as well as emerging markets. By scrutinizing calendar and non calendar effects as well as full description of the efficient market theory anomalies, a sample of these effects known as “The effect of special months on  Tehran Stock Exchange (TSE) is studied and the produced results of the study is used  to test the efficiency of TSE.

1. رامودار، گجراتی. مبانی اقتصاد سنجی. ترجمة حمید ابریشمی، تهران: انتشارات دانشگاه تهران، 1337.
2. راعی، رضا و تلنگی، احمد. مدیریت سرمایه‌گذاری پیشرفته. تهران: انتشارات سمت، 1383.
3. عبده تبریزی، حسین. مجموعه مقالات مالی و سرمایه‌گذاری. تهران: ‌انتشارات ترمه، 1377.
4. فبوزی، فرانک و مودیلیانی، فرانکو. مبانی بازارها و نهادهای مالی. ترجمة حسین عبده تبریزی، تهران: انتشارات آگاه، 1376.
5. نمازی، محمد و شوشتری، زکیه. «مروری بر آزمونهای کارایی بورس اوراق بهادار در سطح ضعیف». تحقیقات مالی، سال سوم، شماره 11، (1375).
6. هاگن، رابرت. تئوری نوین سرمایه‌گذاری. ترجمة علی پارسائیان، تهران: انتشارات ترمه، 1385.
 
7. Agrawal. A, Tandon. K. "Anomalies or Illusions? Evidence from Stock Market in Eighteen Countries"., Journal of International Money and Finance, No. 13, (1994): 83-106.
 
8. Aljayi, R. A., Mehdian, S. and Perry, M. J. "The Day-of-the-Week Effect in Stock Returns: Further Evidence from Easern European Emerging Markets"., Emerging Markets Finance and Trade, 40(4), (2004): 53-62.
 
9. Arsad. Z, and Coutts, J. A. "Security Price Anomalies in the London International Stock Exchange: A 60 Year Perspective"., Applied Financial Economics, No. 7, (1997): 455-64.
 
10. Balaban E. "Day of Week Effects: New Evidence from an Energing Stock Market"., Applied Economics Letters, Forth Coming. No. 23, (1995): 53-65.
 
11. Brooks, C. and Persand, G. "Seasonality in Southeast Asian Stock Markets: Some new Evidence on Day-of-the-Week Effects"., Applied Economics, No. 8, (2001).
 
12. Cadsby, C. B. "Canadian Calendar Anomalies and Capital Asset Pricing Model, in R.N.C"., Guimaraes A Reappraisal of Efficiency of Financial Markets Journal, No. 22, (1989): 199-226.
 
13. Chien, C. Lee, C. and Wang, A. M. L. "A Note on Stock Market Seasonality: the Impact of Stock Price Volatility on the Application of Dummy Variable Regression Model"., The Quarterly Review of Economics and Finance, No. 36, (2002): 120-135.
 
14. Coutts, J. A. and Sheikh, M. A. "The Anomalies that aren’t there: the weekend, January and Pre-Holiday Effect on the all Gold Index on the Johannesburg Stock Exchange 1987-1997"., Applied Financial Economics, No. 12, (2002): 863-71.
15. Davidsson, Marcus. "Stock Market Anomalies"., International Business School, No. 42, (2006): 35-48.
 
16. Fama, F. "Efficient Capital Markets"., Journal of Finance, No. 46, (1991): 1575-617.
 
17. Gultekin, N. and Gultekin, N. B. "Stock Market Seasonality: International Evidence"., Journal of Finance Economics, No. 12, (1983): 469-482.
 
18. Haugen, R. A. and Lakonishok. "The Incredible January Effect, Homewood"., IL: Dow Jones- Irwin Journal, No. 15, (1988): 19-34.
 
19. Husain, Fazal. "A Seasonality in the Pakistan Equity Market: the Ramadan Effect"., The Pakistan Devel, Rev, No. 7, (1988): 77-81.
 
20. Jaff, J. and Westerfied , R. "The Weekend Effect in Common Stock Returns"., The International Evidence J. Finan, No. 40, (1985): 433-454.
 
21. Karim, M. Abadir and Laura.s, "The Festivity Effect and Liquidity Constraints: a Test on Countries with Different Calendars"., Tanaka Business School, No.15, (2005): 40-55.
 
22. Lucey, B. M. "Anomalous Daily Seasonality in Ireland?"., Applied Economics Letters, No. 7, (2000): 637-40.
 
23. Lucey, B. A. and Whelan, S. "Monthly and Semi-Annual Seasonality in the Irish Equity Market 1934-200"., Applied Financial Economics, No. 14, (2004): 203-208.
 
24. Mills, T. C., Siriopouls, C., Markeloos, R.N. and Harizanis, D. "Seasonality in the Athens Stock Exchange"., Applied Financial Economics, No. 10, (2000): 137-42.
 
25. Mills, T.C. and Coutls, J. N. "Calendar Effects in the London Stock Exchange FT-SE Indices"., European Journal of Finance, No. 1, (1995): 79-93.
 
26. Pandey, I.M. "Seasonality in the Malaysian Stock Market: 1992-2002"., Journal of Financial Management and Analysis, 15(2), (2002): 37-44.
 
27. Pettengill, G. N. "Holiday Closing and Security Returns"., Journal of Finance Research, No. 12, (1989): 57-67.
 
28. Raj. K. Kohli and Kohers, T. "The Week-of-the Monthly آذرEffect in Stock Returns; The Evidence from the S&P Composit Index"., Journal of Economics and Finance, No. 25, (2001): 130-7.
 
29. Reinganum, M. "The Anomalous Stock Market Behavior of Small Firms in January"., Journal of Financial Economics, No. 12, (1983): 89-104.
 
30. Rogalski, R. J. and Tinic, S. M. "The January Size Effect: Anomaly or Risk Mismeasurment"., Financial Analysis Journal, No. 12, (1986): 63-70.
31. Rozeff, Michael and William Kinney. "Capital Market Seasonality: the Case of Stock Returns"., Journal of Financial Economics, No. 3, (1976): 379-402.
 
32. Seyyed, F.J. and Abraham, A. and Al-Hajji, M. "Seasonality in Stock Returns and Volatility: The Ramadan Effect"., Research in International Business and Finance, No. 19, (2005).
 
33. Thaler, R. "Anomalies: The January Effect"., Journal of Economic Perspectives, No. 1, (1987).
 
34. Wachtel, S. "Certain Observations on Seasonal Movements in Stock Prices"., Journal of Business, No. 15, (1942).