Empirically examining of the effect of week days on future contracts market of Bahar Azadi Coin in Tehran Merchandise Exchange

Subject Areas : Journal of Investment Knowledge

Peyman  Tataee ¹ (Ph.D Student of IAU,Science & Technology Branch)
Jalal  Seifoddini ² (Ph.D Student of IAU,Science & Technology Branch)
Emad  Ahmadipour ³ (Ph.D Student of IAU,Science & Technology Branch)
Leila  Azadi ⁴ (Ph.D Student of IAU,Science & Technology Branch)

Received: 2012-12-05 Accepted : 2013-04-09 Published : 2013-04-09

Keywords: effect of week days, of future contracts of Bahar A, Iran Merchandise Exchange, conditional variance, Random Walk, market information efficiency,

Abstract :

This study empirically examined the effect of week days on future contracts of Bahar Azadi Coin in Iran Merchandise Exchange. We used the classic Linear Autoregressive and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) to show that there isn't a standard pattern for the return of future contracts of Bahar Azadi Coin. Also, we presented that the daily return of future contracts depended on previous day and even the day before. Thus we concluded that the prices didn't follow "Random Walk" phenomenon in the future market of Bahar Azadi Coin and we couldn’t find any evidence for market information efficiency in weak level.