چکیده مقاله :
امروزه داشتن آگاهی و شناخت کافی سرمایه‌گذاران از وجود ناهنجاری‌ها همچنین نوع واکنش صنایع موجود در بازار سرمایه، می‌تواند تاثیر عمده‌ای در رونق اقتصادی بازار سرمایه داشته باشد. از این‌رو، هدف این پژوهش بررسی تأثیر ناهنجاری‌های تقویمی بر بازده شاخص شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران در حوزه صنایع خودرو در بازه زمانی سال‌های 1399-1395 است. پژوهش بر پایه روش تحلیل چیرگی تصادفی و با استفاده از تکنیک الکتره که یک روش نوین در تحقیقات مالی می‌باشد، انجام شده است. یافته‌ها نشان می‌دهد سه فرضیه اصلی مبنی بر وجود تفاوت معنادار بین بازدهی شاخص صنایع خودرو در روزهای شنبه تا چهارشنبه، در هفته‌های اول، دوم، سوم و چهارم هر ماه و در ماه‌های فروردین تا اسفند هر سه رد شدند که نشانگر عدم کارایی شرکت‌های صنعت خودرو بورس اوراق بهادار تهران است. همچنین بر‌اساس یافته‌های پژوهش مشخص گردید در بین روزهای هفته، روز شنبه و در بین هفته‌های هر ماه، هفته اول، مناسب‌ترین روز و هفته جهت سرمایه‌گذاری در صنعت خودرو می‌باشد. علاوه بر این، بهترین ماه برای سرمایه‌گذاری در صنعت خودرو اسفندماه و بدترین ماه نیز خردادماه است.
چکیده انگلیسی:
Today, having enough knowledge and understanding of investors about the existence of anomalies as well as the type of reaction of industries in the capital market can have a major impact on the economic prosperity of the capital market. Therefore, the purpose of this research is to investigate the effect of calendar anomalies on the index returns of companies listed in the Tehran Stock Exchange in the field of automobile industry in the period of 2015-2018. The research was done based on the random dominance analysis method and using the Electra technique, which is a new method in financial research. The findings show that the three main hypotheses that there is a significant difference between the efficiency of the automobile industry index on Saturday to Wednesday, in the first, second, third and fourth weeks of each month and in the months of April to March, all three are rejected. which indicates the inefficiency of automobile industry companies of Tehran Stock Exchange. Also, according to the findings of the research, it was determined that among the days of the week, Saturday and among the weeks of each month, the first week, is the most suitable day and week for investing in the automobile industry. In addition, the best month for investing in the automobile industry is March and the worst month is June.
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