Empirically examining of the effect of week days on future contracts market of Bahar Azadi Coin in Tehran Merchandise Exchange

Document Type : Original Article

Authors
Peyman Tataee
Jalal Seifoddini
Emad Ahmadipour
Leila Azadi
Ph.D Student of IAU,Science & Technology Branch
Abstract
This study empirically examined the effect of week days on future contracts of Bahar Azadi Coin in Iran Merchandise Exchange. We used the classic Linear Autoregressive and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) to show that there isn't a standard pattern for the return of future contracts of Bahar Azadi Coin. Also, we presented that the daily return of future contracts depended on previous day and even the day before. Thus we concluded that the prices didn't follow "Random Walk" phenomenon in the future market of Bahar Azadi Coin and we couldn’t find any evidence for market information efficiency in weak level.
Keywords
effect of week days
of future contracts of Bahar Azadi Coin
Iran Merchandise Exchange
conditional variance
Random Walk
market information efficiency