Day of The Week Effect on Tehran Stock Exchange

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Oudbashi, Sama | 2015

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 47231 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Zamani, Shiva
Abstract:
The present study investigated day of the week effect on stock market returns and the stock market returns and volatility relationship in Tehran Stock Exchange. In this part two regression models is been used and theory that effect of days are meaningful on return and also the theory of meaningfulness and being equal of relation between return and volatility in different days of the week has been examined on index return of all market and on industry indexes in separately. Therefore we have utilized information from time series of total index week days categorized into 8 industries during 2008-2013. The results obtained on weekdays effect on the index of the first model and second model implies the absence of the week. Results of trade industries, the impact of industry on 4 weekdays between 8 industry has been studied, suggesting that it is a sign of lack of efficacy in Tehran stock exchange. The empirical evidence of relationship between returns and volatility assumption of equal significance and on different days of the week does not approve
Keywords:
Return Volatility ; General Autoregressive Conditional Heteroskedastic (GARCH) ; Tehran Stock Exchange ; Day-of-the-Week Effect ; Return-Volatility Relation ; Time Vary Risk Premia

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