Stock Market Returns before and after Brokerage Firms' Fiscal Year-End: The case of Tehran Stock Exchange
Market efficiency paradigm and time patterns concerned, as "calendar anomalies" is a contradictory issue for researches. TSE's market participants have a negative understanding of the 6th and 12th month of the fiscal year and this issue is rooted in the obliged credit settlement of th...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Iran Finance Association
1999-12-01
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| Series: | Iranian Journal of Finance |
| Subjects: | |
| Online Access: | https://www.ijfifsa.ir/article_58457_e0ec8bea61d3f52de27f90fb0f5de6d8.pdf |
| _version_ | 1798016024889524224 |
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| author | Mahmood Pakbaz Shahin Ahmadi Majid Feshari |
| author_facet | Mahmood Pakbaz Shahin Ahmadi Majid Feshari |
| author_sort | Mahmood Pakbaz |
| collection | DOAJ |
| description | Market efficiency paradigm and time patterns concerned, as "calendar anomalies" is a contradictory issue for researches. TSE's market participants have a negative understanding of the 6th and 12th month of the fiscal year and this issue is rooted in the obliged credit settlement of the brokerage industry at the year-end. The purpose of this study is to investigate the TSE's total return before and after brokerage firms' year-end. Using GARCH-PQ, and data of market index in periods between 1390 and 1396, we concluded that periods of1st to 22ndof 6thand 12th months,and 22nd to the end of 6th and 12th months, have respectivelynegative and positive effectson TSE's stock index. |
| first_indexed | 2024-04-11T15:44:04Z |
| format | Article |
| id | doaj.art-e053125bc373463c86e980e716fc6e8f |
| institution | Directory Open Access Journal |
| issn | 2676-6337 2676-6345 |
| language | English |
| last_indexed | 2024-04-11T15:44:04Z |
| publishDate | 1999-12-01 |
| publisher | Iran Finance Association |
| record_format | Article |
| series | Iranian Journal of Finance |
| spelling | doaj.art-e053125bc373463c86e980e716fc6e8f2022-12-22T04:15:40ZengIran Finance AssociationIranian Journal of Finance2676-63372676-63451999-12-0111738410.22034/ijf.2017.5845758457Stock Market Returns before and after Brokerage Firms' Fiscal Year-End: The case of Tehran Stock ExchangeMahmood Pakbaz0Shahin Ahmadi1Majid Feshari2Faculty of Financial Sciences, Kharazmi UniversityAllamahTabatabaie UniversityFaculty Member of Faculty of Economics, Kharazmi UniversityMarket efficiency paradigm and time patterns concerned, as "calendar anomalies" is a contradictory issue for researches. TSE's market participants have a negative understanding of the 6th and 12th month of the fiscal year and this issue is rooted in the obliged credit settlement of the brokerage industry at the year-end. The purpose of this study is to investigate the TSE's total return before and after brokerage firms' year-end. Using GARCH-PQ, and data of market index in periods between 1390 and 1396, we concluded that periods of1st to 22ndof 6thand 12th months,and 22nd to the end of 6th and 12th months, have respectivelynegative and positive effectson TSE's stock index.https://www.ijfifsa.ir/article_58457_e0ec8bea61d3f52de27f90fb0f5de6d8.pdftehran stock exchangecredit settlementcalendar anomalies |
| spellingShingle | Mahmood Pakbaz Shahin Ahmadi Majid Feshari Stock Market Returns before and after Brokerage Firms' Fiscal Year-End: The case of Tehran Stock Exchange Iranian Journal of Finance tehran stock exchange credit settlement calendar anomalies |
| title | Stock Market Returns before and after Brokerage Firms' Fiscal Year-End: The case of Tehran Stock Exchange |
| title_full | Stock Market Returns before and after Brokerage Firms' Fiscal Year-End: The case of Tehran Stock Exchange |
| title_fullStr | Stock Market Returns before and after Brokerage Firms' Fiscal Year-End: The case of Tehran Stock Exchange |
| title_full_unstemmed | Stock Market Returns before and after Brokerage Firms' Fiscal Year-End: The case of Tehran Stock Exchange |
| title_short | Stock Market Returns before and after Brokerage Firms' Fiscal Year-End: The case of Tehran Stock Exchange |
| title_sort | stock market returns before and after brokerage firms fiscal year end the case of tehran stock exchange |
| topic | tehran stock exchange credit settlement calendar anomalies |
| url | https://www.ijfifsa.ir/article_58457_e0ec8bea61d3f52de27f90fb0f5de6d8.pdf |
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