Seasonal Anomalies in TEHRAN Stock Exchange Returns Non Parametric Bootstrap Approach
Because of the heterogeneity in behavior, in the real world prices may deviate substantially and persistently from their fundamental values. Of course, if these heterogeneous elements play a rather minor role then asset prices and rates of return will be determined mainly by economic fundamentals an...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | fas |
| Published: |
University of Tehran
2011-08-01
|
| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_23830_a5acdb7afec08bfa14d50168eff3b488.pdf |
| _version_ | 1828791767411982336 |
|---|---|
| author | Mohsen Nazari Elham Farzanegan |
| author_facet | Mohsen Nazari Elham Farzanegan |
| author_sort | Mohsen Nazari |
| collection | DOAJ |
| description | Because of the heterogeneity in behavior, in the real world prices may deviate substantially and persistently from their fundamental values. Of course, if these heterogeneous elements play a rather minor role then asset prices and rates of return will be determined mainly by economic fundamentals and rational behavior. By observing actual behavior in the stock market one can seek to isolate profitable trading opportunities which persist for some time. This evidence is referred to as stock market anomalies. In this paper, nonparametric bootstrapping procedure is used to analysis average monthly seasonality returns. Evidence suggests several explanations for abnormal returns during 2000: M3 to 2010:M2. Tax-loss Selling, Window dressing anomalies explain the existence of these distinct patterns of returns. Also, existence of those calendar seasonalities as the most important financial market anomalies is often promoted as a conflict with the efficient market hypothesis. |
| first_indexed | 2024-12-12T02:56:44Z |
| format | Article |
| id | doaj.art-6fa200afed2d4d6ea8a3974d60f0912c |
| institution | Directory Open Access Journal |
| issn | 1024-8153 2423-5377 |
| language | fas |
| last_indexed | 2024-12-12T02:56:44Z |
| publishDate | 2011-08-01 |
| publisher | University of Tehran |
| record_format | Article |
| series | تحقیقات مالی |
| spelling | doaj.art-6fa200afed2d4d6ea8a3974d60f0912c2022-12-22T00:40:43ZfasUniversity of Tehranتحقیقات مالی1024-81532423-53772011-08-01133114716723830Seasonal Anomalies in TEHRAN Stock Exchange Returns Non Parametric Bootstrap ApproachMohsen Nazari0Elham Farzanegan1عضو هیئت علمی دانشکده مدیریت دانشگاه تهراندانشجوی دکترای اقتصاد دانشگاه بوعلی سینا همدانBecause of the heterogeneity in behavior, in the real world prices may deviate substantially and persistently from their fundamental values. Of course, if these heterogeneous elements play a rather minor role then asset prices and rates of return will be determined mainly by economic fundamentals and rational behavior. By observing actual behavior in the stock market one can seek to isolate profitable trading opportunities which persist for some time. This evidence is referred to as stock market anomalies. In this paper, nonparametric bootstrapping procedure is used to analysis average monthly seasonality returns. Evidence suggests several explanations for abnormal returns during 2000: M3 to 2010:M2. Tax-loss Selling, Window dressing anomalies explain the existence of these distinct patterns of returns. Also, existence of those calendar seasonalities as the most important financial market anomalies is often promoted as a conflict with the efficient market hypothesis.https://jfr.ut.ac.ir/article_23830_a5acdb7afec08bfa14d50168eff3b488.pdfabnormal returnsefficient market hypothesis.financial behaviornon parametric bootstrapseasonal anomalies |
| spellingShingle | Mohsen Nazari Elham Farzanegan Seasonal Anomalies in TEHRAN Stock Exchange Returns Non Parametric Bootstrap Approach تحقیقات مالی abnormal returns efficient market hypothesis. financial behavior non parametric bootstrap seasonal anomalies |
| title | Seasonal Anomalies in TEHRAN Stock Exchange Returns
Non Parametric Bootstrap Approach |
| title_full | Seasonal Anomalies in TEHRAN Stock Exchange Returns
Non Parametric Bootstrap Approach |
| title_fullStr | Seasonal Anomalies in TEHRAN Stock Exchange Returns
Non Parametric Bootstrap Approach |
| title_full_unstemmed | Seasonal Anomalies in TEHRAN Stock Exchange Returns
Non Parametric Bootstrap Approach |
| title_short | Seasonal Anomalies in TEHRAN Stock Exchange Returns
Non Parametric Bootstrap Approach |
| title_sort | seasonal anomalies in tehran stock exchange returns non parametric bootstrap approach |
| topic | abnormal returns efficient market hypothesis. financial behavior non parametric bootstrap seasonal anomalies |
| url | https://jfr.ut.ac.ir/article_23830_a5acdb7afec08bfa14d50168eff3b488.pdf |
| work_keys_str_mv | AT mohsennazari seasonalanomaliesintehranstockexchangereturnsnonparametricbootstrapapproach AT elhamfarzanegan seasonalanomaliesintehranstockexchangereturnsnonparametricbootstrapapproach |