Identifying and Modeling Tehran Stock Market Calendar Effects: Using ARCH and GARCH Models
This paper examines the calendar anomalies in daily return of the Tehran stock market. ARCH and GARCH models are employed to capture the wide range of different calendar anomalies exist in the literature. This study finds the evidence of strong Esfand and Mehr effects in the stock return. In additi...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
Tarbiat Modares University
2009-01-01
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| Series: | پژوهشهای اقتصادی |
| Subjects: | |
| Online Access: | http://ecor.modares.ac.ir/article-18-358-en.pdf |