A study of return cyclical pattern monthly in Tehran stock (by using moving block bootstrap)

Subject Areas : Financial Knowledge of Securities Analysis

علیرضا عرفانی ¹ , سولماز صفری ²

1 - ندارد
2 - مسئول مکاتبات

Received: 2013-11-23 Accepted : 2014-01-05 Published : 2014-06-15

Keywords: Keywords: Calendar anomalies, Month effects, moving block bootstrap, liquidity effect,

Abstract :

AbstractCalendar anomalies are the cyclical patterns which cannot be explained byfundamental factors in stock returns. One of the most important anomalies is the Monthseffect of year that their discovery is the opposite of market efficiency theory. Therefore,the purpose of this article is the examination of stock Anomalies monthly in Tehran Stockmarket in the period 1998-2012 through moving block bootstrap method and Percentileconfidence intervals.The conclusion shows that Farvardin returns average has the positive, significant andhighest return. Accordingly, the liquidity effect and Window Dressing theory could be anexplanation to positive returns in the period 1998-2012.