This paper propounds to examine the day of the week effect on the returns of daily stock price entire index, in Tehran Stock Exchange market during 1383 to 1388 and 1389. Various approaches have been presented for investigation about calendar effects on stock retu More
This paper propounds to examine the day of the week effect on the returns of daily stock price entire index, in Tehran Stock Exchange market during 1383 to 1388 and 1389. Various approaches have been presented for investigation about calendar effects on stock returns. We apply " Least Mean Square (LMS) Algorithm Regression" . In fact, Least Mean Square (LMS) Algorithm Regression avoids the classification of dummy variables to values of one and zero, as we do in the traditional statistical and econometric methodology. The paper concludes that during 1383 to 1388 will lead to a positive effect on the returns on Sunday and in the course of 1389, there is no efficiency significant.
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This paper evaluates simultaneously the effect of alterations in economic regime together with financial regime on equity premium puzzle seasonally in the period 1371-1393. A combinational model including Bivariate GARCH and Fuzzy dummy va More
This paper evaluates simultaneously the effect of alterations in economic regime together with financial regime on equity premium puzzle seasonally in the period 1371-1393. A combinational model including Bivariate GARCH and Fuzzy dummy variable with Consumption Capital Asset Pricing model (CCAPM-F) is used in order to achieve to this goal. Results present the risk aversion coefficient is maximum when there is the recession in both market stock and economy, which means the investors are intended to take risk only in lieu of high level of compensation and they also intend to allocate their funds into more certain fields such as bank deposits in this situation. Finally, regime of economic recession is generally associated with higher levels of risk aversion.
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