Evaluating the Relationship between Calendar Anomalies and Stock Return of TSE Listed Companies

Mohammadreza Vatanparast and Sara Ahrabi

International Journal of Management, Accounting and Economics, 2018, vol. 5, issue 11, 889-904

Abstract: To expand the financial literature and also in view of the necessity of updating in today's knowledge of the world, this research examines one of the most recent issues of financial management, means science of behavioural finance that is dedicated to the behavioral character of the capital market and the study of the behavioral and psychological aspects of the capital market. In this field, one of the interesting topics is the calendar effects that deal with the anomalies in behavior and performance of market in different times of day, week, month and year. The problem that follows in this study is to investigate the relationship between weekdays, including the categories of periodic or calendar effects, on stock returns, and claims that there are heterogeneous returns on different days of the week, at that time, it would be possible to generate extra returns by formulating strategies for these daily patterns. To achieve this goal, five hypotheses have been formulated and 160 companies were selected from listed companies in the Tehran Stock Exchange for a period of 5 years, 2012 to 2016. The method of this research is applied and descriptive-correlational. To test the hypotheses, linear regression model and panel data are used. The results of testing the hypotheses show that there is a significant relationship between calendar events and stock returns and the effect of Tuesday has been significant in estimations.

Keywords: Calendar events; Stock Returns; days of the Week effects (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:air:journl:v:5:y:2018:i:11:p:889

DOI: 10.5281/zenodo.17562821

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