The Investigation of Seasonal Fluctuations Model in Tehran Stock Exchange

Abstract

By studying the efficient market theory, the new financial management has confirmed the existence of calendar anomalies such as daily transaction effect, special monthly effect, holiday effect, etc as well as non calendar anomalies like initial public offering stock effect, neglected firm stock effect, political cycle effect, etc and acknowledges them as anomalies of the efficient market theory. In fact, the recognition and existence or non existence tests of these anomalies is a new subject within the investment arena in recent years and several studies have been carried out in this regard by using different experiments specially time series and regression model with dummy variables, which are much observable in developed as well as emerging markets. By scrutinizing calendar and non calendar effects as well as full description of the efficient market theory anomalies, a sample of these effects known as “The effect of special months on Tehran Stock Exchange (TSE) is studied and the produced results of the study is used to test the efficiency of TSE.