Day of the Week Effect in Stock Returns by using Bootstrapping Fuzzy- GARCH Regression

Subject Areas : Financial Knowledge of Securities Analysis

فاطمه  بزازان ¹ (نویسنده مسئول مکاتبات)
شمس اله  شیرین بخش ماسوله ² (ندارد)
سولماز  صفری ³ (ندارد)

Received: 2011-11-16 Accepted : 2012-03-10 Published : 2012-06-09

Keywords: Fuzzy Logic, day of the week, Fuzzy Regression, Bootstrap,

Abstract :

This paper propounds to examine the day of the week effect on the returns of dailystock price entire index, in Tehran Stock Exchange market during 1383 to 1388.Various approaches have been presented for investigation about calendar effects onstock returns. We apply " Fuzzy regression with triangular membership function".This approach's base is, the fuzzification of the dummy variables through fuzzy logic.In fact, fuzzy logic regression enables us to capture the impression and nonlinearitiesin finance and human behavior which are main characteristics in finance industry andfurthermore, avoids the classification of dummy variables to values of one and zero, aswe do in the traditional statistical and econometric methodology. The paper concludesthat using fuzzy regression will lead to a positive effect on the returns on Sunday andnegative returns on Tuesday